Viscosity Solutions of Path-Dependent PDEs

Path-dependent parabolic second order PDEs aim at extending the standard corresponding PDE tools to non-Markovian phenomena, where the function of interest is a stochastic process depending at each point in time on the current history. Applications include stochastic control of non-Markovian stochastic systems and the corresponding stochastic differential games. Similar to the PDE theory, we introduce a notion of viscosity solutions which by-passes the local compactness of the underlying space. Our objective is to review the recent developments on the wellposedness of these equations.


Nizar Touzi, Centre de Mathématiques Appliquées Ecole Polytechnique (CMAP)

Start date:
Monday, October 20, 2014 - 09:00
End date:
Tuesday, October 21, 2014 - 12:00