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

DOI10.1214/23-AAP1960arXiv2107.01956OpenAlexW3179081646MaRDI QIDQ6180392FDOQ6180392

Authors: Bruno Bouchard, Grégoire Loeper, Xiaolu Tan 

Publication date: 19 January 2024

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

Abstract: We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, comparaison and stability results are established under fairly general conditions. It is also consistent with smooth solutions when the dimension is less or equal to two, or the non-linearity is concave in the second order space derivative. We finally investigate the regularity (in the sense of Dupire) of the solution to the PPDE.

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

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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) Comparison principles in context of PDEs (35B51) Viscosity solutions to PDEs (35D40)

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