Year: 2014
Type: preprint
Abstract: In this paper we extend the results of the seminal work Barles and Souganidis \cite{BS} to path dependent case. Based on the viscosity theory of path dependent PDEs, developed by Ekren, Keller, Touzi and Zhang \cite{EKTZ} and Ekren, Touzi and Zhang \cite{ETZ0, ETZ1, ETZ2}, we show that a monotone scheme converges to the unique viscosity solution of the (fully nonlinear) parabolic path dependent PDE. An example of such monotone scheme is proposed. Moreover, in the case that the solution is smooth enough, we obtain the rate of convergence of our scheme.
Source: arXiv (Cornell University)
Authors: Zhang, Jianfeng, Zhuo, Jia
Institution: University of Southern California
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2952010721