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 language | English |
|---|---|
| Article number | 2250007 |
| Journal | Stochastics and Dynamics |
| Volume | 22 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Feb 2022 |
| Externally published | Yes |
Keywords
- Gaussian processes
- Volterra processes
- backward SDEs
- decoupled mild solutions
- path-dependent PDEs