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math.PR2014★ 19 cited
Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs
Zhenjie Ren, Nizar Touzi, Jianfeng Zhang
This paper provides a probabilistic proof of the comparison result for viscosity solutions of path-dependent semilinear PDEs. We consider the notion of viscosity solutions introduc…
math.PR2014
Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation
Jin Ma, Zhenjie Ren, Nizar Touzi +1
This paper provides a large deviation principle for Non-Markovian, Brownian motion driven stochastic differential equations with random coefficients. Similar to Gao and Liu \cite{G…