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math.PR2015
Partial regularity of viscosity solutions for a class of Kolmogorov equations arising from mathematical finance
Mauro Rosestolato, Andrzej Świech
We study value functions which are viscosity solutions of certain Kolmogorov equations. Using PDE techniques we prove that they are regular on special finite dimensional…
math.PR2015
Path-dependent equations and viscosity solutions in infinite dimension
Andrea Cosso, Salvatore Federico, Fausto Gozzi +2
Path-dependent PDEs (PPDEs) are natural objects to study when one deals with non Markovian models. Recently, after the introduction of the so-called pathwise (or functional or Dupi…