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Preprints, Working Papers, ... Year : 2015

A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs

Abstract

First, we revisit functional Itô/path-dependent calculus started by B. Dupire, R. Cont and D.-A. Fournié, using the formulation of calculus via regularization. Relations with the corresponding Banach space valued calculus introduced by C. Di Girolami and the second named author are explored. The second part of the paper is devoted to the study of the Kolmogorov type equation associated with the so called window Brownian motion, called path-dependent heat equation, for which well-posedness at the level of classical solutions is established. Then, a notion of strong approximating solution, called strong-viscosity solution, is introduced which is supposed to be a substitution tool to the viscosity solution. For that kind of solution, we also prove existence and uniqueness. The notion of strong-viscosity solution motivates the last part of the paper which is devoted to explore this new concept of solution for general semilinear PDEs in the finite dimensional case. We prove an equivalence result between the classical viscosity solution and the new one. The definition of strong-viscosity solution for semilinear PDEs is inspired by the notion of "good" solution, and it is based again on an approximating procedure.
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Dates and versions

hal-00933678 , version 1 (20-01-2014)
hal-00933678 , version 2 (14-01-2015)

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Andrea Cosso, Francesco Russo. A regularization approach to functional Itô calculus and strong-viscosity solutions to path-dependent PDEs. 2015. ⟨hal-00933678v2⟩
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