Monotone schemes for fully nonlinear parabolic path dependent PDEs
نویسندگان
چکیده
منابع مشابه
Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
We prove a comparison result for viscosity solutions of (possibly degenerate) parabolic fully nonlinear path-dependent PDEs. In contrast with the previous result in Ekren, Touzi & Zhang [10], our conditions are easier to check and allow for the degenerate case, thus including first order path-dependent PDEs. Our argument follows the regularization method as introduced by Jensen, Lions & Sougani...
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In our previous paper [Ekren, Touzi and Zhang (2015)], we introduced a notion of viscosity solutions for fully nonlinear path-dependent PDEs, extending the semilinear case of Ekren et al. [Ann. Probab. 42 (2014) 204– 236], which satisfies a partial comparison result under standard Lipshitz-type assumptions. The main result of this paper provides a full, well-posedness result under an additional...
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The main objective of this paper and the accompanying one [Viscosity solutions of fully nonlinear parabolic path dependent PDEs: Part II (2012) Preprint] is to provide a notion of viscosity solutions for fully nonlinear parabolic path-dependent PDEs. Our definition extends our previous work [Ann. Probab. (2014) 42 204–236], focused on the semilinear case, and is crucially based on the nonlinear...
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ژورنال
عنوان ژورنال: Journal of Financial Engineering
سال: 2014
ISSN: 2345-7686,2382-5596
DOI: 10.1142/s2345768614500056