30 citations · 119 across the 28 of their papers we have counts for
4 papers · 1 filter
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…
An overview of Viscosity Solutions of Path-Dependent PDEs
Zhenjie Ren, Nizar Touzi, Jianfeng Zhang
This paper provides an overview of the recently developed notion of viscosity solutions of path-dependent partial di erential equations. We start by a quick review of the Crandall-…
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…
Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs
Zhenjie Ren
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 a…