Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
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Publication:2296085
DOI10.1186/S41546-016-0010-3zbMATH Open1431.35256arXiv1604.02239OpenAlexW2964221211WikidataQ59478966 ScholiaQ59478966MaRDI QIDQ2296085
Author name not available (Why is that?)
Publication date: 17 February 2020
Published in: (Search for Journal in Brave)
Abstract: In this paper we propose a new type of viscosity solutions for fully nonlinear path dependent PDEs. By restricting to certain pseudo Markovian structure, we remove the uniform non- degeneracy condition imposed in our earlier works [9, 10]. We establish the comparison principle under natural and mild conditions. Moreover, as applications we apply our results to two important classes of PPDEs: the stochastic HJB equations and the path dependent Isaacs equations, induced from the stochastic optimization with random coefficients and the path dependent zero sum game problem, respectively.
Full work available at URL: https://arxiv.org/abs/1604.02239
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