Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2024
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| _version_ | 1866914790527467520 |
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| author | Tang, Shanjian Zhou, Jianjun |
| author_facet | Tang, Shanjian Zhou, Jianjun |
| contents | In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Probab., 33 (2023), 5564-5612]. We prove the existence, comparison principle, consistency and stability for the viscosity solutions. Application to path-dependent stochastic differential games is given. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_06309 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications Tang, Shanjian Zhou, Jianjun Probability Optimization and Control 93E20, 60H30, 49L20, 49L25 In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Probab., 33 (2023), 5564-5612]. We prove the existence, comparison principle, consistency and stability for the viscosity solutions. Application to path-dependent stochastic differential games is given. |
| title | Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications |
| topic | Probability Optimization and Control 93E20, 60H30, 49L20, 49L25 |
| url | https://arxiv.org/abs/2405.06309 |