English

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 (t,ω)(t,\omega), and generator Lipschitz continuous in (y,z,γ)(y,z,\gamma). 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.

Keywords

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}
}
R2 v1 2026-06-22T00:34:26.648Z