CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION

Andrea Cosso (1) , Francesco Russo (2, 3)

1 UNIBO - Alma Mater Studiorum Università di Bologna = University of Bologna
2 ENSTA Paris - École Nationale Supérieure de Techniques Avancées
3 OC - Optimisation et commande

We address our interest to the development of a theory of viscosity solutions à la Crandall-Lions for path-dependent partial differential equations (PDEs), namely PDEs in the space of continuous paths C([0, T ]; R^d). Path-dependent PDEs can play a central role in the study of certain classes of optimal control problems, as for instance optimal control problems with delay. Typically, they do not admit a smooth solution satisfying the corresponding HJB equation in a classical sense, it is therefore natural to search for a weaker notion of solution. While other notions of generalized solution have been proposed in the literature, the extension of the Crandall-Lions framework to the path-dependent setting is still an open problem. The question of uniqueness of the solutions, which is the more delicate issue, will be based on early ideas from the theory of viscosity solutions and a suitable variant of Ekeland's variational principle. This latter is based on the construction of a smooth gauge-type function, where smooth is meant in the horizontal/vertical (rather than Fréchet) sense. In order to make the presentation more readable, we address the path-dependent heat equation, which in particular simplifies the smoothing of its natural "candidate" solution. Finally, concerning the existence part, we provide a new proof of the functional Itô formula under general assumptions, extending earlier results in the literature.

Mots clés: viscosity solutions; functional Itô formula; path-dependent partial differential equations

Domaines: Probabilités [math.PR]; Equations aux dérivées partielles [math.AP]

Andrea Cosso, Francesco Russo. CRANDALL-LIONS VISCOSITY SOLUTIONS FOR PATH-DEPENDENT PDES: THE CASE OF HEAT EQUATION. Bernoulli, 2022, 28, pp.481-503. ⟨10.3150/21-BEJ1353⟩. ⟨hal-02383626v3⟩