Viscosity Solutions of Path-Dependent PDEs with Randomized Time

DOI10.1137/18M122666XzbMath1445.35207arXiv1806.07654OpenAlexW3017772014WikidataQ114074275 ScholiaQ114074275MaRDI QIDQ4960820

Mauro Rosestolato, Zhenjie Ren

Publication date: 23 April 2020

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.07654

zbMATH Keywords

viscosity solutionpartial differential equations in infinite dimensionpath-dependent partial differential equations

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Second-order parabolic equations (35K10) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15) Viscosity solutions to PDEs (35D40)

Related Items (8)

A Stochastic Model of Economic Growth in Time-Space ⋮ Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Partial smoothing of delay transition semigroups acting on special functions ⋮ Robust Portfolio Choice with Sticky Wages ⋮ Viscosity solutions to parabolic master equations and McKean-Vlasov SDEs with closed-loop controls ⋮ Master Bellman equation in the Wasserstein space: Uniqueness of viscosity solutions ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs

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