Crandall-Lions Viscosity Solutions for Path-Dependent PDEs: The Case of Heat Equation

• Main Authors: Cosso, Andrea, Russo, Francesco
• Format: Journal Article
• Language: English
• Published: 29-11-2019
• Subjects: Mathematics - Analysis of PDEs; Mathematics - Probability
• DOI: 10.48550/arxiv.1911.13095

We address our interest to the development of a theory of viscosity solutions
{\`a} la Crandall-Lions for path-dependent partial differential equations
(PDEs), namely PDEs in the space of continuous paths C([0, T ]; R^d).
Path-dependent PDEs can play a central role in the study of certain classes of
optimal control problems, as for instance optimal control problems with delay.
Typically, they do not admit a smooth solution satisfying the corresponding HJB
equation in a classical sense, it is therefore natural to search for a weaker
notion of solution. While other notions of generalized solution have been
proposed in the literature, the extension of the Crandall-Lions framework to
the path-dependent setting is still an open problem. The question of uniqueness
of the solutions, which is the more delicate issue, will be based on early
ideas from the theory of viscosity solutions and a suitable variant of
Ekeland's variational principle. This latter is based on the construction of a
smooth gauge-type function, where smooth is meant in the horizontal/vertical
(rather than Fr{\'e}chet) sense. In order to make the presentation more
readable, we address the path-dependent heat equation, which in particular
simplifies the smoothing of its natural "candidate" solution. Finally,
concerning the existence part, we provide a new proof of the functional It{\^o}
formula under general assumptions, extending earlier results in the literature.