Markovian integral equations and path-dependent partial differential equations

Kalinin, Alexander (2017): Markovian integral equations and path-dependent partial differential equations. Dissertation,

Abstract

This thesis provides a construction of solutions to Markovian integral equations. By introducing path-dependent diffusion processes, this yields a general existence and uniqueness result for mild solutions to semilinear parabolic path-dependent partial differential equations (PPDEs). In this connection, we verify that mild solutions are also solutions in a viscosity sense.

• Dokumententyp: Hochschulschrift (Dissertation)
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• Bemerkung: Dissertation, Universität Mannheim, 2017
• Sprache: Englisch