Viscosity solutions of obstacle problems for Fully nonlinear path-dependent PDEs
Probability
2015-11-10 v5
Abstract
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 , and generator Lipschitz continuous in . We prove that our definition of viscosity solutions is consistent with the classical solutions, and satisfy a stability result. We show that the value functional defined via the second order reflected backward stochastic differential equation is the unique viscosity solution of the variational inequalities.
Cite
@article{arxiv.1306.3631,
title = {Viscosity solutions of obstacle problems for Fully nonlinear path-dependent PDEs},
author = {Ibrahim Ekren},
journal= {arXiv preprint arXiv:1306.3631},
year = {2015}
}