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20112022
most citedOn viscosity solutions of path dependent PDEs

202 citations · 210 across the 5 of their papers we have counts for

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math.AP2014

Viscosity Solutions of Path-dependent Integro-differential Equations

Christian Keller

We extend the notion of viscosity solutions for path-dependent PDEs introduced by Ekren et al. [Ann. Probab. 42 (2014), no. 1, 204-236] to path-dependent integro-differential equat…

math.PR2014★ 5 cited

Pathwise Itô Calculus for Rough Paths and Rough PDEs with Path Dependent Coefficients

Christian Keller, Jianfeng Zhang

This paper introduces the path derivatives, in the spirit of Dupire's functional Itô calculus, for the controlled paths in the rough path theory with possibly non-geometric rough p…