Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications
Probability
2024-05-13 v1 Optimization and Control
Abstract
In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Probab., 33 (2023), 5564-5612]. We prove the existence, comparison principle, consistency and stability for the viscosity solutions. Application to path-dependent stochastic differential games is given.
Cite
@article{arxiv.2405.06309,
title = {Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications},
author = {Shanjian Tang and Jianjun Zhou},
journal= {arXiv preprint arXiv:2405.06309},
year = {2024}
}
Comments
27 pages. arXiv admin note: text overlap with arXiv:2005.05309