Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation
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Publication:2073223
DOI10.3150/21-BEJ1353zbMath1482.35072arXiv1911.13095OpenAlexW3212787426WikidataQ114038749 ScholiaQ114038749MaRDI QIDQ2073223
Publication date: 1 February 2022
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.13095
Applications of stochastic analysis (to PDEs, etc.) (60H30) Second-order parabolic equations (35K10) Viscosity solutions to PDEs (35D40)
Related Items (8)
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations ⋮ Nonlinear continuous semimartingales ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability ⋮ Survey on path-dependent PDEs
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