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Paper detail

On viscosity solutions of path dependent PDEs

In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman-Kac formula to non-Markovian case. We shall prove the existence, uniqueness, stability and comparison principle for the viscosity solutions. The key ingredient of our approach is a functional Itô calculus recently introduced by Dupire [Functional Itô calculus (2009) Preprint].

preprint2014arXivOpen access
Ibrahim EkrenChristian KellerNizar TouziJianfeng Zhang
math.APmath.PRmath.FA
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Ibrahim EkrenChristian KellerNizar TouziJianfeng Zhang

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