Survey on Path-Dependent PDEs

被引：0
|
作者：
Shige Peng
Yongsheng Song
Falei Wang
机构：
[1] Shandong University,School of Mathematics, Zhongtai Securities Institute for Financial Studies
[2] Chinese Academy of Sciences,Academy of Mathematics and Systems Science
[3] University of Chinese Academy of Sciences,School of Mathematical Sciences
[4] Shandong University,Zhongtai Securities Institute for Financial Studies, School of Mathematics
来源：
Chinese Annals of Mathematics, Series B | 2023年 / 44卷
关键词：
Path-Dependent; Wiener expectation; BSDEs; Classical solution; Sobolev solution; Viscosity solution; 60H10; 60H30; 35K10;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper, the authors provide a brief introduction of the path-dependent partial di.erential equations (PDEs for short) in the space of continuous paths, where the path derivatives are in the Dupire (rather than Fréchet) sense. They present the connections between Wiener expectation, backward stochastic di.erential equations (BSDEs for short) and path-dependent PDEs. They also consider the well-posedness of path-dependent PDEs, including classical solutions, Sobolev solutions and viscosity solutions.
引用
收藏
页码：837 / 856
页数：19
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