Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations

DOI10.1214/16-AAP1178zbMath1372.35386OpenAlexW2565858504MaRDI QIDQ511472

Zhenjie Ren

Publication date: 21 February 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1481792588

zbMATH Keywords

comparison principleoptimal stoppingviscosity solutionsPerron's approachpath-dependent PDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear elliptic equations (35J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60) Viscosity solutions to PDEs (35D40)

Related Items (11)

A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ Viscosity solutions to first order path-dependent Hamilton-Jacobi-Bellman equations in Hilbert space ⋮ Stochastic optimal control problem with infinite horizon driven by G-Brownian motion ⋮ Path-dependent Hamilton-Jacobi equations in infinite dimensions ⋮ Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method ⋮ Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications ⋮ Survey on path-dependent PDEs ⋮ Second order backward SDE with random terminal time ⋮ Viscosity Solutions of Path-Dependent PDEs with Randomized Time ⋮ Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs ⋮ Crandall-Lions viscosity solutions for path-dependent PDEs: the case of heat equation

This page was built for publication: Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations