scholarly journals Viscosity solutions of path-dependent integro-differential equations

2016 ◽  
Vol 126 (9) ◽  
pp. 2665-2718 ◽  
Author(s):  
Christian Keller
Keyword(s):  
Differential Equations ◽  
Viscosity Solutions ◽  
Path Dependent

scholarly journals Double-barriers-reflected BSDEs with jumps and viscosity solutions of parabolic integrodifferential PDEs

2005 ◽  
Vol 2005 (1) ◽  
pp. 37-53 ◽  
Author(s):  
N. Harraj ◽  
Y. Ouknine ◽  
I. Turpin
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Viscosity Solutions ◽  
Backward Stochastic Differential Equations ◽  
Probabilistic Interpretation ◽  
Reflected Bsdes

We give a probabilistic interpretation of the viscosity solutions of parabolic integrodifferential partial equations with two obstacles via the solutions of forward-backward stochastic differential equations with jumps.

scholarly journals Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs

2020 ◽  
Vol 58 (1) ◽  
pp. 277-302
Author(s):  
Zhenjie Ren ◽  
Nizar Touzi ◽  
Jianfeng Zhang
Keyword(s):  
Viscosity Solutions ◽  
Path Dependent

scholarly journals Comparison Theorem for Nonlinear Path-Dependent Partial Differential Equations

2014 ◽  
Vol 2014 ◽  
pp. 1-5
Author(s):  
Falei Wang
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Comparison Theorem ◽  
Parabolic Partial Differential Equation ◽  
Basic Variable ◽  
Partial Differential ◽  
Fully Nonlinear ◽  
Path Dependent

We introduce a type of fully nonlinear path-dependent (parabolic) partial differential equation (PDE) in which the pathωton an interval [0,t] becomes the basic variable in the place of classical variablest,x∈[0,T]×ℝd. Then we study the comparison theorem of fully nonlinear PPDE and give some of its applications.

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