• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - No thumbnail

Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability

Bouchard, Bruno; Loeper, Grégoire; Tan, Xiaolu (2021-09), Approximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiability. https://basepub.dauphine.psl.eu/handle/123456789/22026

View/Open
PPDE-v2021-09-6.pdf (401.2Kb)
Type
Document de travail / Working paper
External document link
https://hal.archives-ouvertes.fr/hal-03277963
Date
2021-09
Series title
Cahiers du CEREMADE
Pages
33
Metadata
Show full item record
Author(s)
Bouchard, Bruno
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Loeper, Grégoire
Tan, Xiaolu
Department of Mathematics [CUHK]
Abstract (EN)
We introduce a notion of approximate viscosity solution for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton-Jacobi-Bellman type equations. Existence, comparaison and stability results are established under fairly general conditions. It is also consistent with smooth solutions when the dimension is less or equal to two, or the non-linearity is concave in the second order space derivative. We finally investigate the regularity (in the sense of Dupire) of the solution to the PPDE.
Subjects / Keywords
PPDE

Related items

Showing items related by title and author.

  • Thumbnail
    Understanding the dual formulation for the hedging of path-dependent options with price impact 
    Bouchard, Bruno; Tan, Xiaolu (2019) Document de travail / Working paper
  • Thumbnail
    On the convergence of monotone schemes for path-dependent PDE 
    Ren, Zhenjie; Tan, Xiaolu (2017) Article accepté pour publication ou publié
  • Thumbnail
    A C^{0,1} -functional Itô’s formula and its applications in mathematical finance 
    Bouchard, Bruno; Loeper, Grégoire; Tan, Xiaolu (2021) Document de travail / Working paper
  • Thumbnail
    Comparison of viscosity solutions of semi-linear path-dependent PDEs 
    Ren, Zhenjie; Touzi, Nizar; Zhang, Jianfeng (2020) Article accepté pour publication ou publié
  • Thumbnail
    Viscosity solutions of path-dependent PDEs with randomized time 
    Ren, Zhenjie; Rosestolato, Mauro (2018-06) Document de travail / Working paper
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo