STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs

Abstract : The aim of the present work is the introduction of a viscosity type solution, called strong-viscosity solution to distinguish it from the classical one, with the following peculiarities: it is a purely analytic object; it can be easily adapted to more general equations than classical partial differential equations. First, we introduce the notion of strong-viscosity solution for semilinear parabolic partial differential equations, defining it, in a few words, as the pointwise limit of classical solutions to perturbed semilinear parabolic partial differential equations; we compare it with the standard definition of viscosity solution. Afterwards, we extend the concept of strong-viscosity solution to the case of semilinear parabolic path-dependent partial differential equations, providing an existence and uniqueness result.
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https://hal-ensta.archives-ouvertes.fr/hal-01145301
Contributor : Francesco Russo <>
Submitted on : Friday, March 8, 2019 - 7:01:50 PM
Last modification on : Wednesday, May 15, 2019 - 3:51:46 AM

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  • HAL Id : hal-01145301, version 3

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Andrea Cosso, Francesco Russo. STRONG-VISCOSITY SOLUTIONS: SEMILINEAR PARABOLIC PDEs AND PATH-DEPENDENT PDEs. 2019. ⟨hal-01145301v3⟩

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