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Pré-Publication, Document De Travail Année : 2014

Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs

Résumé

This paper provides a probabilistic proof of the comparison result for viscosity solutions of path-dependent semilinear PDEs. We consider the notion of viscosity solutions introduced in [8] which considers as test functions all those smooth processes which are tangent in mean. When restricted to the Markovian case, this definition induces a larger set of test functions, and reduces to the notion of stochastic viscosity solutions analyzed in [1, 2]. Our main result takes advantage of this enlargement of the test functions, and provides an easier proof of comparison. This is most remarkable in the context of the linear path-dependent heat equation. As a key ingredient for our methodology, we introduce a notion of punctual differentiation, similar to the corresponding concept in the standard viscosity solutions [3], and we prove that semimartingales are almost everywhere punctually differentiable. This smoothness result can be viewed as the counterpart of the Aleksandroff smoothness result for convex functions. A similar comparison result was established earlier in [8]. The result of this paper is more general and, more importantly, the arguments that we develop do not rely on any representation of the solution.
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Dates et versions

hal-01077593 , version 1 (25-10-2014)

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Zhenjie Ren, Nizar Touzi, Jianfeng Zhang. Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs. 2014. ⟨hal-01077593⟩
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