Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs
Analysis of PDEs
2016-02-12 v3 Probability
Abstract
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 formulated on some partial differential equation defined locally by freezing the path.
Keywords
Cite
@article{arxiv.1401.5210,
title = {Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs},
author = {Zhenjie Ren},
journal= {arXiv preprint arXiv:1401.5210},
year = {2016}
}