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Strong-viscosity solutions: classical and path-dependent PDEs (Q2002602)

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English	Strong-viscosity solutions: classical and path-dependent PDEs	scientific article

Statements

scholarly article

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Strong-viscosity solutions: classical and path-dependent PDEs (English)

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Francesco Russo

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Osaka Journal of Mathematics

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publication date

12 July 2019

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full work available at URL

https://arxiv.org/abs/1505.02927

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https://projecteuclid.org/euclid.ojm/1554278428

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zbMATH Keywords

pointwise limit of classical solutions

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existence and uniqueness

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MaRDI profile type

MaRDI publication profile

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Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times

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Second order PDE's in finite and infinite dimension

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Uniqueness in the Dirichlet problem for some elliptic operators with discontinuous coefficients

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Functional Itō calculus and stochastic integral representation of martingales

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Path-dependent equations and viscosity solutions in infinite dimension

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Functional and Banach Space Stochastic Calculi: Path-Dependent Kolmogorov Equations Associated with the Frame of a Brownian Motion

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Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations

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User’s guide to viscosity solutions of second order partial differential equations

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Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. V: Unbounded linear terms and \(B\)-continuous solutions

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Stochastic Equations in Infinite Dimensions

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Functional Itô calculus

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On viscosity solutions of path dependent PDEs

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Optimal stopping under nonlinear expectation

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.

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Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II

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Backward Stochastic Differential Equations in Finance

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Stochastic Optimal Control in Infinite Dimension

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An infinite-dimensional approach to path-dependent Kolmogorov equations

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Randomized and backward SDE representation for optimal control of non-Markovian SDEs

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Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control

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Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition

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Weak Dirichlet processes with a stochastic control perspective

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On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's

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Calcul stochastique et problèmes de martingales

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Uniformly elliptic PDEs with bounded, measurable coefficients

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Good and viscosity solutions of fully nonlinear elliptic equations

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A weak version of path-dependent functional Itô calculus

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Adapted solution of a backward stochastic differential equation

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Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type

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BSDE, path-dependent PDE and nonlinear Feynman-Kac formula

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An Overview of Viscosity Solutions of Path-Dependent PDEs

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Forward, backward and symmetric stochastic integration

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The generalized covariation process and Itô formula

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Elements of Stochastic Calculus via Regularization

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Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Mathematics(1 entry)

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