Comparison Theorem for Nonlinear Path‐Dependent Partial Differential Equations

Falei Wang

Abstract and Applied Analysis, 2014, vol. 2014, issue 1

Abstract: We introduce a type of fully nonlinear path‐dependent (parabolic) partial differential equation (PDE) in which the path ωt on an interval [0, t] becomes the basic variable in the place of classical variables (t, x) ∈ [0, T] × ℝd. Then we study the comparison theorem of fully nonlinear PPDE and give some of its applications.

Date: 2014
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https://doi.org/10.1155/2014/968093

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2014:y:2014:i:1:n:968093

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