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Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs

Published 21 Jan 2014 in math.AP and math.PR | (1401.5210v3)

Abstract: This paper introduces a convenient solution space for the uniformly elliptic fully nonlinear path dependent PDEs. It provides a wellposedness result under standard Lipschitz-type assumptions on the nonlinearity and an additional assumption formulated on some partial differential equation defined locally by freezing the path.

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