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

DOI10.1214/23-AAP1960MaRDI QIDQ6180392zbMATH OpenOpenAlexFDO

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

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.

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Cites work

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