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

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 نشر من قبل Ibrahim Ekren
 تاريخ النشر 2013
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 تأليف Ibrahim Ekren




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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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