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arxiv: 1306.3631 · v5 · pith:26HOODLInew · submitted 2013-06-16 · 🧮 math.PR

Viscosity solutions of obstacle problems for Fully nonlinear path-dependent PDEs

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keywords solutionsviscositycontinuousdefinitionfullynonlinearobstaclepath-dependent
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In this article, we adapt the definition of viscosity solutions to the obstacle problem for fully nonlinear path-dependent PDEs with data uniformly continuous in $(t,\omega)$, and generator Lipschitz continuous in $(y,z,\gamma)$. We prove that our definition of viscosity solutions is consistent with the classical solutions, and satisfy a stability result. We show that the value functional defined via the second order reflected backward stochastic differential equation is the unique viscosity solution of the variational inequalities.

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