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arXiv · 1804.03845

About classical solutions of the path-dependent heat equation

Cristina Di Girolami·Francesco Russo
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Abstract

This paper investigates two existence theorems for the path-dependent heat equation, which is the Kolmogorov equation related to the window Brownian motion, considered as a C([--T, 0])-valued process. We concentrate on two general existence results of its classical solutions related to different classes of final conditions: the first one is given by a cylindrical non necessarily smooth r.v., the second one is a smooth generic functional.

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Cristina Di Girolami, Francesco Russo. 2018-04-11. About classical solutions of the path-dependent heat equation. https://arxiv.org/abs/1804.03845

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