Perron’s method for viscosity solutions of semilinear path dependent PDEs

Abstract

This paper proves the existence of viscosity solutions of path dependent semilinear PDEs via Perron’s method, i.e. via showing that the supremum of viscosity subsolutions is a viscosity solution. We use the notion of viscosity solutions introduced in the work of Ekren, Keller, Touzi and Zhang which considers as test functions all those smooth processes which are tangent in mean. We also provide a comparison result for semicontinuous viscosity solutions, by using a regularization technique. As an interesting byproduct, we give a new short proof for the optimal stopping problem with semicontinuous obstacles.

Keywords:

• Viscosity solution; Perron’s method; path-dependent PDE; optimal stopping

Notes

No potential conflict of interest was reported by the author.

Additional information

Funding

This work was supported by the Région Ile-de-France.