Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs

DOI10.1137/16M1090338MaRDI QIDQ4592862

Zhenjie Ren, Jianfeng Zhang, Nizar Touzi

Publication date: 9 November 2017

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.05910

zbMATH Keywords

regularizationcomparison principleviscosity solutionspath-dependent PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)

Related Items (25)

On the convergence of monotone schemes for path-dependent PDEs ⋮ A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space ⋮ Convergence of discrete-time deterministic games to path-dependent Isaacs partial differential equations under quadratic growth conditions ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Dynamic Set Values for Nonzero-Sum Games with Multiple Equilibriums ⋮ Zero-sum path-dependent stochastic differential games in weak formulation ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Perron’s method for viscosity solutions of semilinear path dependent PDEs ⋮ Viscosity Solutions for Obstacle Problems on Wasserstein Space ⋮ A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability ⋮ Survey on path-dependent PDEs ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ Path dependent optimal transport and model calibration on exotic derivatives ⋮ Stochastic control for a class of nonlinear kernels and applications ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations

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