Show simple item record

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

hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
dc.contributor.authorLoeper, Grégoire
hal.structure.identifierDepartment of Mathematics [CUHK]
dc.contributor.authorTan, Xiaolu
dc.date.accessioned2021-10-15T13:17:19Z
dc.date.available2021-10-15T13:17:19Z
dc.date.issued2021-09
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22026
dc.language.isoenen
dc.subjectPPDEen
dc.subject.ddc519en
dc.titleApproximate viscosity solutions of path-dependent PDEs and Dupire's vertical differentiabilityen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.en
dc.identifier.citationpages33en
dc.relation.ispartofseriestitleCahiers du CEREMADEen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-03277963en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2021
dc.description.ssrncandidatenon
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2021-10-15T13:13:12Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail
Name:
PPDE-v2021-09-6.pdf
Size:
401.2Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record