Perron’s method for viscosity solutions of semilinear path dependent PDEs
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Publication:4584673
DOI10.1080/17442508.2016.1215451zbMATH Open1394.60070arXiv1503.02169OpenAlexW2963078692MaRDI QIDQ4584673FDOQ4584673
Publication date: 4 September 2018
Published in: Stochastics (Search for Journal in Brave)
Abstract: This paper proves the existence of viscosity solutions of path dependent semilinear PDEs via Perron's method, i.e. via showing that the supremum of viscosity subsolutions is a viscosity solution. We use the notion of viscosity solutions introduced by Ekren, Keller, Touzi and Zhang, in whose work all smooth processes which are tangent in mean are considered as test functions. We also provide a comparison result for semicontinuous viscosity solutions, by using a regularization technique. As an interesting byproduct, we give a new short proof for the optimal stopping problem with semicontinuous obstacles.
Full work available at URL: https://arxiv.org/abs/1503.02169
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to PDEs (35D40) Nonlinear parabolic equations (35K55) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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Cited In (7)
- Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
- Viscosity Solutions of Path-Dependent PDEs with Randomized Time
- Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs
- Perron’s method for pathwise viscosity solutions
- Survey on path-dependent PDEs
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- Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method
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