The Annals of Probability · 2014 · 201 citations · 27 references
EngineeringMathematicsDifferential EquationsDynamical SystemsStochastic ProcessesContinuous-time Stochastic ProcessesDiffusion ProcessesMarkov ProcessesPartial Differential EquationsStochastic CalculusStochastic Differential EquationsBackward Stochastic Differential EquationsFeynman-kac FormulaItô CalculusParabolic Partial Differential EquationsPathwise UniquenessUniqueness In Parabolic EquationsViscosityViscosity Solutions
In this paper we propose a notion of viscosity solutions for path dependent semi-linear parabolic PDEs. This can also be viewed as viscosity solutions of non-Markovian backward SDEs, and thus extends the well-known nonlinear Feynman–Kac formula to non-Markovian case. We shall prove the existence, uniqueness, stability and comparison principle for the viscosity solutions. The key ingredient of our approach is a functional Itô calculus recently introduced by Dupire [Functional Itô calculus (2009) Preprint].
27
Backward Stochastic Differential Equations in Finance
Nicole El Karoui, Shigē Péng, M.C. Quenez · Mathematical Finance · 1997 · 2.4K citations
Engineering, Economics, Finance +10