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Crandall-Lions Viscosity Solutions for Path-Dependent PDEs: The Case of Heat Equation
[article]
2019
We address our interest to the development of a theory of viscosity solutions {à} la Crandall-Lions for path-dependent partial differential equations (PDEs), namely PDEs in the space of continuous paths C([0, T ]; R^d). Path-dependent PDEs can play a central role in the study of certain classes of optimal control problems, as for instance optimal control problems with delay. Typically, they do not admit a smooth solution satisfying the corresponding HJB equation in a classical sense, it is
doi:10.48550/arxiv.1911.13095
fatcat:qlabzecqhnh7bkv7ebcuyt7xly