Viscosity Solutions of Second Order Path-Dependent Partial Differential Equations and Applications

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.

27 pages. arXiv admin note: text overlap with arXiv:2005.05309