Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs

Zhenjie Ren

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arXiv · 1401.5210

Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs

Zhenjie Ren

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Abstract

This paper introduces a convenient solution space for the uniformly elliptic fully nonlinear path dependent PDEs. It provides a wellposedness result under standard Lipschitz-type assumptions on the nonlinearity and an additional assumption formulated on some partial differential equation defined locally by freezing the path.

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Zhenjie Ren. 2016-02-11. Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs. https://arxiv.org/abs/1401.5210

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