Viscosity solutions of path-dependent integro-differential equations

DOI10.1016/j.spa.2016.02.014zbMath1383.45004arXiv1412.8495OpenAlexW2963748055MaRDI QIDQ737174

Christian Keller

Publication date: 8 August 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.8495

zbMATH Keywords

viscosity solutionsmartingale problemsbackward SDEs with jumpspath-dependent integro-differential equationsSkorokhod topologies

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Integro-partial differential equations (45K05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)

Related Items (6)

Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Path-dependent BSDEs with jumps and their connection to PPIDEs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
• Measurability of semimartingale characteristics with respect to the probability law
• Quadratic reflected BSDEs with unbounded obstacles
• Discretization of processes.
• A functional extension of the Ito formula
• Viscosity solution of nonanticipating Hamilton-Jacobi equations
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Change of variable formulas for non-anticipative functionals on path space
• Generalization of the main equation of differential game theory
• On existence and non-existence of proper, regular, conditional distributions
• On the martingale problem associated with nondegenerate Lévy operators
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Functional equations of Hamilton-Jacobi type and differential games with hereditary information
• Backward stochastic differential equation with random measures
• Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
• Reflected backward stochastic differential equation with jumps and random obstacle
• History path dependent optimal control and portfolio valuation and management
• On classical solutions of boundary value problems for certain nonlinear integro-differential equations
• Functional Itō calculus and stochastic integral representation of martingales
• Multidimensional diffusion processes.
• Stochastic-Process Limits
• Backward Stochastic Differential Equations and Optimal Control of Marked Point Processes
• Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
• Backward stochastic differential equations and integral-partial differential equations
• Backward Stochastic Differential Equations Driven By Càdlàg Martingales
• Viscosity Solutions of Hamilton-Jacobi Equations
• Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule
• The exit measure of a supermartingale

This page was built for publication: Viscosity solutions of path-dependent integro-differential equations