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arxiv: 1806.07654 · v1 · pith:Q7RKXQGRnew · submitted 2018-06-20 · 🧮 math.PR

Viscosity solutions of path-dependent PDEs with randomized time

classification 🧮 math.PR
keywords viscositysolutionsdefinitionpath-dependentdifferentialequationspartialpdes
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We introduce a new definition of viscosity solution to path-dependent partial differential equations, which is a slight modification of the definition introduced in [8]. With the new definition, we prove the two important results till now missing in the literature, namely, a general stability result and a comparison result for semicontinuous sub-/super-solutions. As an application, we prove the existence of viscosity solutions using the Perron method. Moreover, we connect viscosity solutions of path-dependent PDEs with viscosity solutions of partial differential equations on Hilbert spaces.

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