Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability

DOI10.1214/23-aap1960arXiv2107.01956OpenAlexW3179081646MaRDI QIDQ6180392

Bruno Bouchard, Grégoire Loeper, Xiaolu Tan

Publication date: 19 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.01956

zbMATH Keywords

comparisonregularityexistenceviscosity solutionspath-dependent PDEs

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Existence problems for PDEs: global existence, local existence, non-existence (35A01) Viscosity solutions to PDEs (35D40) Comparison principles in context of PDEs (35B51)

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