paper

Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II

arXiv:1210.0007 · doi:10.1214/15-AOP1027

Abstract

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 partial comparison result under standard Lipshitz-type assumptions. The main result of this paper provides a full, well-posedness result under an additional assumption, formulated on some partial differential equation, defined locally by freezing the path. Namely, assuming further that such path-frozen standard PDEs satisfy the comparison principle and the Perron approach for existence, we prove that the nonlinear path-dependent PDE has a unique viscosity solution. Uniqueness is implied by a comparison result.

Published at http://dx.doi.org/10.1214/15-AOP1027 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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