Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs

@inproceedings{Ekren2016PseudoMarkovianVS,
  title={Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs},
  author={I Ekren and Nizar Touzi and Jianfeng Zhang and Ann Probab},
  year={2016}
}
  • I Ekren, Nizar Touzi, +1 author Ann Probab
  • Published 2016
In this paper, we propose a new type of viscosity solutions for fully nonlinear path-dependent PDEs. By restricting the solution to a pseudo-Markovian structure defined below, we remove the uniform non-degeneracy condition needed in our earlier works (Ekren, I, Touzi, N, Zhang, J, Ann Probab, 44:1212–1253, 2016a; Ekren, I, Touzi, N, Zhang, J, Ann Probab, 44:2507–2553, 2016b) to establish the uniqueness result. We establish the comparison principle under natural and mild conditions. Moreover, we… CONTINUE READING