Results 111 to 120 of about 86,831,735 (183)

Note on Viscosity Solution of Path-Dependent PDE and G-Martingales

open access: yes, 2011
In the 2nd version of this note we introduce the notion of viscosity solution for a type of fully nonlinear parabolic path-dependent partial differential equations (P-PDE). We then prove the comparison theorem (or maximum principle) of this new type of equation which is the key property of this framework.
openaire   +2 more sources

A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs

open access: yes, 2014
First, we revisit functional Itô/path-dependent calculus started by B. Dupire, R. Cont and D.-A. Fournié, using the formulation of calculus via regularization. Relations with the corresponding Banach space valued calculus introduced by C. Di Girolami and
Francesco Russo   +3 more
core  

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