Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs
Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs
This paper provides a probabilistic proof of the comparison result for viscosity solutions of path-dependent semilinear PDEs. We consider the notion of viscosity solutions introduced in \cite{EKTZ} which considers as test functions all those smooth processes which are tangent in mean. When restricted to the Markovian case, this definition induces …