Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
نویسندگان
چکیده
منابع مشابه
Taylor expansions of solutions of stochastic partial differential equations
The solutions of parabolic and hyperbolic stochastic partial differential equations (SPDEs) driven by an infinite dimensional Brownian motion, which is a martingale, are in general not semi-martingales any more and therefore do not satisfy an Itô formula like the solutions of finite dimensional stochastic differential equations (SODEs). In particular, it is not possible to derive stochastic Tay...
متن کاملStochastic Taylor expansions and heat kernel asymptotics
3 Stochastic Taylor expansions 5 3.1 Motivation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 3.2 Chen series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 3.3 Brownian Chen series . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 3.4 Exponential of a vector field . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 3.5 Li...
متن کاملPathwise Stochastic Control Problems and Stochastic
In this paper we study a class of pathwise stochastic control problems in which the optimality is allowed to depend on the paths of exogenous noise (or information). Such a phenomenon can be illustrated by considering a particular investor who wants to take advantage of certain extra information but in a completely legal manner. We show that such a control problem may not even have a “minimizin...
متن کاملPathwise Stochastic Optimal Control
This paper approaches optimal control problems for discrete-time controlled Markov processes by representing the value of the problem in a dual Lagrangian form; the value is expressed as an infimum over a family of Lagrangian martingales of an expectation of a pathwise supremum of the objective adjusted by the Lagrangian martingale term. This representation opens up the possibility of numerical...
متن کاملPathwise Stochastic Control Problems and Stochastic HJB Equations
In this paper we study a class of pathwise stochastic control problems in which the optimality is allowed to depend on the paths of exogenous noise (or information). Such a phenomenon can be illustrated by considering a particular investor who wants to take advantage of certain extra information but in a completely legal manner. We show that such a control problem may not even have a “minimizin...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2002
ISSN: 0091-1798
DOI: 10.1214/aop/1029867123