Work

Controlled viscosity solutions of fully nonlinear rough PDEs

Year: 2014

Type: preprint

Abstract: We propose a definition of viscosity solutions to fully nonlinear PDEs driven by a rough path via appropriate notions of test functions and rough jets. These objects will be defined as controlled processes with respect to the driving rough path. We show that this notion is compatible with the seminal results of Lions and Souganidis and with the recent results of Friz and coauthors on fully non-linear SPDEs with rough drivers.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1403.2832

Authors: Gubinelli, Massimiliano, Tindel, Samy, Torrecilla, Iván

Institutions: Centre de Recherche en Mathématiques de la Décision, Institut national de recherche en sciences et technologies du numérique, Institut Élie Cartan de Lorraine, Centre Inria de l'Université de Lorraine, Université de Lorraine

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Institut national de recherche en informatique et en automatique (INRIA), Agence Nationale de la Recherche

OpenAlex ID: W1649709784

Cites: 13

Cited by: 19

Related to: 10