Path-dependent parabolic second order PDEs aim at extending the standard corresponding PDE tools to non-Markovian phenomena, where the function of interest is a stochastic process depending at each point in time on the current history. Applications include stochastic control of non-Markovian stochastic systems and the corresponding stochastic differential games. Similar to the PDE theory, we introduce a notion of viscosity solutions which by-passes the local compactness of the underlying space. Our objective is to review the recent developments on the wellposedness of these equations.
Registration for this event is free to University of Oxford Postgraduate Students and Faculty, OMI Associates and Members.
For more information and to register, contact
events@oxford-man.ox.ac.uk