On Viscosity Solutions of Path Dependent PDEs

Details On Viscosity Solutions of Path Dependent PDEs On Viscosity Solutions of Path Dependent PDEs

2011-09-27

arxiv.org/abs/1109.5971v1

Mathematics

Analysis of PDEs

34 pages

Scientific paper

In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian Backward SDEs, and thus extends the well known nonlinear Feynman-Kac formula to non-Markovian case. We shall prove the existence, uniqueness, stability, and comparison principle for the viscosity solutions. The key ingredient of our approach is a functional It\^{o}'s calculus recently introduced by Dupire \cite{Dupire}.

Affiliated with

Also associated with

No associations

Rating

On Viscosity Solutions of Path Dependent PDEs does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On Viscosity Solutions of Path Dependent PDEs, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On Viscosity Solutions of Path Dependent PDEs will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-63468