Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations

DOI10.1214/16-AAP1178MaRDI QIDQ511472zbMATH OpenOpenAlexFDO

Authors Zhenjie Ren

Publication date 21 February 2017

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

Full work available at URL https://projecteuclid.org/euclid.aoap/1481792588

zbMATH Keywords

comparison principleoptimal stoppingviscosity solutionsPerron's approachpath-dependent PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear elliptic equations (35J60) Viscosity solutions to PDEs (35D40) PDEs with randomness, stochastic partial differential equations (35R60) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(21)

• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Comparison theorem for nonlinear path-dependent partial differential equations
• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
• Probabilistic solutions for a class of path-dependent Hamilton-Jacobi-Bellman equations
• Second order backward SDE with random terminal time
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
• Path-dependent dynamic programming principles and related path-dependent PDEs under \(G\)-expectation
• A notion of viscosity solutions to second-order Hamilton-Jacobi-Bellman equations with delays
• Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
• Viscosity solutions of path-dependent integro-differential equations
• Survey on path-dependent PDEs
• Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space
• Viscosity solutions to second order elliptic Hamilton-Jacobi-Bellman equations with infinite delay
• Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
• Viscosity solutions of path-dependent PDEs with randomized time
• Comparison of viscosity solutions of semilinear path-dependent PDEs
• Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation

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