Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes

Adrien Barrasso, Francesco Russo

Research output: Contribution to journalArticlepeer-review

Abstract

We are interested in path-dependent semilinear PDEs, where the derivatives are of Gâteaux type in specific directions k and b, being the kernel functions of a Volterra Gaussian process X. Under some conditions on k,b and the coefficients of the PDE, we prove existence and uniqueness of a decoupled mild solution, a notion introduced in a previous paper by the authors. We also show that the solution of the PDE can be represented through BSDEs where the forward (underlying) process is X.

Original languageEnglish
Article number2250007
JournalStochastics and Dynamics
Volume22
Issue number1
DOIs
Publication statusPublished - 1 Feb 2022
Externally publishedYes

Keywords

  • Gaussian processes
  • Volterra processes
  • backward SDEs
  • decoupled mild solutions
  • path-dependent PDEs

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