Mild and viscosity solutions to semilinear parabolic path-dependent PDEs
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Publication:6280122
arXiv1611.08318MaRDI QIDQ6280122FDOQ6280122
Authors: A. V. Kalinin, Alexander Schied 
Publication date: 24 November 2016
Abstract: We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appears, e.g., in the log-Laplace functionals of historical superprocesses. The aim of this paper is to show that mild solutions are also solutions in a viscosity sense. This result is motivated by the fact that mild solutions can provide value functions and optimal strategies for problems of stochastic optimal control. Since unique mild solutions exist under weak conditions, we obtain as a corollary a general existence result for viscosity solutions to semiilinear parabolic PPDEs.
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Weak solutions to PDEs (35D30) Viscosity solutions to PDEs (35D40) Second-order parabolic equations (35K10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Superprocesses (60J68)
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