Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Systems

Details Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Systems Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Systems

2012-02-12

arxiv.org/abs/1202.2502v1

Mathematics

Probability

Scientific paper

It is known that Markovian forward-backward systems are related to systems of semilinear parabolic PDEs. In this paper we extend this result to the non-Markovian case, proving that a non-Markovian forward-backward system is related to a certain path-dependent PDE (PPDE), a new kind of PDE recently introduced within the framework of functional Ito calculus. In particular, we give the definition of viscosity solution for the PPDE related to our specific case and we prove that, under quite general hypotheses, the forward-backward system provides the unique continuous viscosity solution to the path-dependent PDE.

Affiliated with

Also associated with

No associations

Rating

Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Systems 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 Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Systems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Viscosity Solutions of Path-Dependent PDEs and Non-Markovian Forward-Backward Stochastic Systems will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-371513