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• W2964221211 abstract "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 apply our results to two important classes of PPDEs: the stochastic HJB equations and the path-dependent Isaacs equations, induced from the stochastic optimization with random coefficients and the path-dependent zero-sum game problem, respectively." @default.
• W2964221211 created "2019-07-30" @default.
• W2964221211 creator A5016845762 @default.
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• W2964221211 date "2016-12-01" @default.
• W2964221211 modified "2023-09-25" @default.
• W2964221211 title "Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs" @default.
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• W2964221211 doi "https://doi.org/10.1186/s41546-016-0010-3" @default.
• W2964221211 hasPublicationYear "2016" @default.
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