Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part I
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Ekren, Ibrahim [1] ; Touzi, Nizar [2] ; Zhang, Jianfeng [1]
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[1] University of Southern California
University of Southern California
Estados Unidos
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[2] Ecole Polytechnique Paris
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- Localización: Annals of probability: An official journal of the Institute of Mathematical Statistics, ISSN 0091-1798, Vol. 44, Nº. 2, 2016, págs. 1212-1253
- Idioma: inglés
- DOI: 10.1214/14-AOP999
- Enlaces
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Resumen
The main objective of this paper and the accompanying one [Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012) Preprint] is to provide a notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Our definition extends our previous work [Ann. Probab. (2014) 42 204–236], focused on the semilinear case, and is crucially based on the nonlinear optimal stopping problem analyzed in [Stochastic Process. Appl. (2014) 124 3277–3311]. We prove that our notion of viscosity solutions is consistent with the corresponding notion of classical solutions, and satisfies a stability property and a partial comparison result. The latter is a key step for the well-posedness results established in [Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012) Preprint]. We also show that the value processes of path-dependent stochastic control problems are viscosity solutions of the corresponding path-dependent dynamic programming equations.
