Viscosity solutions of path-dependent PDEs with randomized time
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viscosity solutionpartial differential equations in infinite dimensionpath-dependent partial differential equations
Viscosity solutions to PDEs (35D40) Second-order parabolic equations (35K10) Initial-boundary value problems for second-order parabolic equations (35K20) Nonlinear parabolic equations (35K55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)
Abstract: We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now missing in the literature, namely, a general stability result and a comparison result for semicontinuous sub-/super-solutions. As an application, we prove the existence of viscosity solutions using the Perron method. Moreover, we connect viscosity solutions of path-dependent PDEs with viscosity solutions of partial differential equations on Hilbert spaces.
Recommendations
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Cited in
(19)- An Overview of Viscosity Solutions of Path-Dependent PDEs
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