Path-dependent dynamic programming principles and related path-dependent PDEs under $\bm{G}$-expectation

DOI10.1360/012016-13zbMATH Open1499.90263OpenAlexW2556963504MaRDI QIDQ5063640

Yu-lian Fan

Publication date: 21 March 2022

Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1360/012016-13

zbMATH Keywords

viscosity solution\(G\)-expectationdynamic programming principlepath-dependent

Mathematics Subject Classification ID

Dynamic programming (90C39) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to PDEs (35D40)

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