首页 | 本学科首页   官方微博 | 高级检索  
     


Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
Authors:Ibrahim Ekren
Affiliation:ETH Zurich, Department of Mathematics, Switzerland
Abstract:In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in (t,ω), and generator Lipschitz continuous in (y,z,γ). We prove that our definition of viscosity solutions is consistent with the classical solutions, and satisfy a stability result. We show that the value functional defined via the second order reflected backward stochastic differential equation is the unique viscosity solution of the variational inequalities.
Keywords:35D40  35K10  60H10  60H30  Path-dependent PDEs  Viscosity solutions  Reflected backward stochastic differential equations  Variational inequalities
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号