Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs

Ibrahim Ekren; Jianfeng Zhang

doi:10.1186/s41546-016-0010-3

Article Contents

2016, Volume 1: 6. Doi: 10.1186/s41546-016-0010-3

This volume Previous Article Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications Next Article Editorial

Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs

Ibrahim Ekren^1, , and
Jianfeng Zhang^2, ,

1 ETH Department of Mathematics, Zurich, Switzerland;
2 University of Southern California, Department of Mathematics, Los Angeles, California, USA

Ibrahim Ekren, ibrahim.ekren@math.ethz.ch ; Jianfeng Zhang, jianfenz@usc.edu

Received: April 07, 2016

Revised: August 07, 2016

Published: September 2020

Research supported in part by NSF grant DMS 1413717.

Abstract / Introduction Related Papers Cited by

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.

Keywords:

Mathematics Subject Classification: 35D40;35K10;60H10;60H30.

Citation:

Related Papers

Cited by

References

[1]	Barles, G, Buckdahn, R, Pardoux, E:Backward stochastic differential equations and integral-partial differential equations. Stoch. Stoch. Rep 60, 57-83 (1997)
[2]	Bayraktar, E, Yao, S:Optimal Stopping with Random Maturity under Nonlinear Expectations. preprint(2016). arXiv:1505.07533
[3]	Cont, R, Fournie, D:Functional Itô calculus and stochastic integral representation of martingales. Ann. Probab 41, 109-133 (2013)
[4]	Cosso, A, Russo, F:Strong-viscosity solutions:Semilinear parabolic PDEs and path-dependent PDEs.preprint (2016). arXiv:1505.02927
[5]	Crandall, MG, Ishii, H, Lions, P-L:User's guide to viscosity solutions of second order partial differential equations. Bull. Amer. Math. Soc. (NS) 27, 1-67 (1992)
[6]	Dupire, B:Functional Itô calculus (2009). papers.ssrn.com
[7]	Ekren, I, Keller, C, Touzi, N, Zhang, J:On Viscosity Solutions of Path Dependent PDEs. Ann. Probab 42, 204-236 (2014a)
[8]	Ekren, I, Touzi, N, Zhang, J:Optimal Stopping under Nonlinear Expectation. Stochastic Process. Appl 124, 3277-3311 (2014b)
[9]	Ekren, I, Touzi, N, Zhang, J:Viscosity Solutions of Fully Nonlinear Parabolic Path Dependent PDEs:Part I. Ann. Probab 44, 1212-1253 (2016a)
[10]	Ekren, I, Touzi, N, Zhang, J:Viscosity Solutions of Fully Nonlinear Parabolic Path Dependent PDEs:Part II. Ann. Probab 44, 2507-2553 (2016b)
[11]	Fleming, W, Soner, HM Controlled Markov Processes and Viscosity Solutions, 2nd ed. Springer, New York (2006)
[12]	Fleming, W, Souganidis, PE:On The Existence of Value Functions of Two-Player, Zero-Sum Stochastic Differential Games. Indiana Univ. Math. J 38, 293-314 (1989)
[13]	Mikulevicious, R:On the convergence of diffusions, Stochastic Differential Systems, pp. 176-186.Springer-Verlag, Berlin (1987)
[14]	Mikulevicius, R, Rozovskii, B:Martingale problems for stochastic PDE's. Stochastic partial differential equations:six perspectives, pp. 243-325 (1999). Math. Surveys Monogr., 64, Amer. Math. Soc., Providence, RI Peng, S:Stochastic Hamilton-Jacobi-Bellman Equations. SIAM J. Control Optim 30, 284-304 (1992)
[15]	Peng, S:Open problems on backward stochastic differential equations. Control of distributed parameter and stochastic systems, pp. 265-273. Springer, US (1999)
[16]	Peng, S:Backward stochastic differential equation, nonlinear expectation and their applications. Proceedings of the International Congress of Mathematicians, Hyderabad, India (2010)
[17]	Peng, S:Note on Viscosity Solution of Path-Dependent PDE and G-Martingales. preprint, arXiv:1106.1144 (2011)
[18]	Peng, S, Song, Y:G-Expectation Weighted Sobolev Spaces, Backward SDE and Path Dependent PDE. J.Math. Soc. Japan 67, 1725-1757 (2015)
[19]	Peng, S, Wang, F:BSDE, Path-dependent PDE and Nonlinear Feynman-Kac Formula. Sci. China Math 59, 19-36 (2016)
[20]	Pham, T, Zhang, J:Some Norm Estimates for Semimartingales. Electron. J. Probab 18, 1-25 (2013)
[21]	Pham, T, Zhang, J:Two Person Zero-sum Game in Weak Formulation and Path Dependent Bellman-Isaacs Equation. SIAM J. Control Optim 52, 2090-2121 (2014)
[22]	Qiu, J:Weak Solution for a Class of Fully Nonlinear Stochastic Hamilton-Jacobi-Bellman Equations.preprint (2016). arXiv:1410.6967
[23]	Ren, Z:Perron's method for viscosity solutions of semilinear path dependent PDEs, Stochastics:An International Journal of Probability and Stochastic Processes (2016)
[24]	Ren, Z, Touzi, N, Zhang, J:An Overview of Viscosity Solutions of Path-Dependent PDEs. Stochastic Anal. Appl 100, 397-453 (2014)
[25]	Ren, Z, Touzi, N, Zhang, J:Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs, preprint (2016a). arXiv:1410.7281
[26]	Ren, Z, Touzi, N, Zhang, J:Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-dependent PDEs, preprint (2016b). arXiv:1511.05910