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The main objective of this paper and the accompanying one \cite{ETZ2} is to provide a notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Our definition extends our previous work \cite{EKTZ}, focused on the…

Probability · Mathematics 2014-09-15 Ibrahim Ekren , Nizar Touzi , Jianfeng Zhang

We study fully nonlinear second-order (forward) stochastic partial differential equations (SPDEs). They can also be viewed as forward path-dependent PDEs (PPDEs) and will be treated as rough PDEs (RPDEs) under a unified framework. We…

Probability · Mathematics 2018-10-02 Rainer Buckdahn , Christian Keller , Jin Ma , Jianfeng Zhang

In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove…

Probability · Mathematics 2015-11-10 Ibrahim Ekren

This paper introduces a convenient solution space for the uniformly elliptic fully nonlinear path dependent PDEs. It provides a wellposedness result under standard Lipschitz-type assumptions on the nonlinearity and an additional assumption…

Analysis of PDEs · Mathematics 2016-02-12 Zhenjie Ren

This paper provides an overview of the recently developed notion of viscosity solutions of path-dependent partial di erential equations. We start by a quick review of the Crandall- Ishii notion of viscosity solutions, so as to motivate the…

Analysis of PDEs · Mathematics 2015-03-10 Zhenjie Ren , Nizar Touzi , Jianfeng Zhang

This paper proves the existence of viscosity solutions of path dependent semilinear PDEs via Perron's method, i.e. via showing that the supremum of viscosity subsolutions is a viscosity solution. We use the notion of viscosity solutions…

Probability · Mathematics 2015-03-10 Zhenjie Ren

We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now…

Probability · Mathematics 2018-06-21 Zhenjie Ren , Mauro Rosestolato

We prove a comparison result for viscosity solutions of (possibly degenerate) parabolic fully nonlinear path-dependent PDEs. In contrast with the previous result in Ekren, Touzi & Zhang, our conditions are easier to check and allow for the…

Analysis of PDEs · Mathematics 2015-11-19 Zhenjie Ren , Nizar Touzi , Jianfeng Zhang

In this article, we show how the theory of rough paths can be used to provide a notion of solution to a class of nonlinear stochastic PDEs of Burgers type that exhibit too high spatial roughness for classical analytical methods to apply. In…

Probability · Mathematics 2010-08-11 Martin Hairer

We review the construction and analysis of numerical methods for strongly nonlinear PDEs, with an emphasis on convex and nonconvex fully nonlinear equations and the convergence to viscosity solutions. We begin by describing a fundamental…

Numerical Analysis · Mathematics 2016-10-26 Michael Neilan , Abner J. Salgado , Wujun Zhang

In this study, we concern the multidimensional viscosity solutions theory of a kind of semi-linear partial differential equations (PDEs). A new definition of viscosity solution for this multidimensional semi-linear PDEs which is related to…

Dynamical Systems · Mathematics 2016-08-09 Shuzhen Yang

We study and compare two concepts for weak solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). The first is that of mild solutions as it appears, e.g., in the log-Laplace functionals of historical…

Probability · Mathematics 2018-11-16 Alexander Kalinin , Alexander Schied

The aim of the present work is the introduction of a viscosity type solution, called strong-viscosity solution to distinguish it from the classical one, with the following peculiarities: it is a purely analytic object; it can be easily…

Probability · Mathematics 2019-03-19 Andrea Cosso , Francesco Russo

We study controlled differential equations driven by a rough path (in the sense of T. Lyons) with an additional, possibly unbounded drift term. We show that the equation induces a solution flow if the drift grows at most linearly.…

Probability · Mathematics 2016-05-19 Sebastian Riedel , Michael Scheutzow

In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac…

Analysis of PDEs · Mathematics 2014-01-15 Ibrahim Ekren , Christian Keller , Nizar Touzi , Jianfeng Zhang

We generalize the notion of pathwise viscosity solutions, put forward by Lions and Souganidis to study fully nonlinear stochastic partial differential equations, to equations set on a sub-domain with Neumann boundary conditions. Under a…

Analysis of PDEs · Mathematics 2023-07-31 Paul Gassiat , Benjamin Seeger

We study stochastic optimal control of rough stochastic differential equations (RSDEs). This is in the spirit of the pathwise control problem (Lions--Souganidis 1998, Buckdahn--Ma 2007; also Davis--Burstein 1992), with renewed interest and…

Probability · Mathematics 2025-10-24 Peter K. Friz , Khoa Lê , Huilin Zhang

This article investigates the well-posedness of weak solutions to non-linear parabolic PDEs driven by rough coefficients with rough initial data in critical homogeneous Besov spaces. Well-posedness is understood in the sense of existence…

Analysis of PDEs · Mathematics 2026-05-01 Pascal Auscher , Sebastian Bechtel

In our previous paper [Ekren, Touzi and Zhang (2015)], we introduced a notion of viscosity solutions for fully nonlinear path-dependent PDEs, extending the semilinear case of Ekren et al. [Ann. Probab. 42 (2014) 204-236], which satisfies a…

Probability · Mathematics 2016-09-28 Ibrahim Ekren , Nizar Touzi , Jianfeng Zhang

We analyze a novel class of rough stochastic control problems that allows for a convenient approach to solving pathwise stochastic control problems with both non-anticipative and anticipative controls. We first establish the well-posedness…

Optimization and Control · Mathematics 2026-01-19 Ulrich Horst , Huilin Zhang
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