Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs

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.

References in corpus (2)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs

Cited by in corpus (2)

• On the convergence of monotone schemes for path-dependent PDE
• Stochastic optimal control problem with infinite horizon driven by G-Brownian motion