On viscosity solutions of path dependent PDEs
Ekren, Ibrahim · Keller, Christian · Touzi, Nizar · Zhang, Jianfeng
Original · EN
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].
English translation
This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.