Application of PPDEs to stochastic differential games

Ibrahim Ekren (ETH Zürich)
Thursday, July 9, 2015 - 5:00pm
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

In this talk, we define derivatives of functionals on the space of continuous paths and give an introduction to path-dependent partial differential equations (PPDEs). These equations extend the well-known Feynman-Kac Formula to a non-Markovian framework. Since the space of continuous paths is not locally compact, we cannot rely on the theory of viscosity solutions for PDEs and need to develop new approaches. We present new results on degenerate PPDEs and apply them to the study of non-Markovian stochastic differential games. This talk is based on joint works with Nizar Touzi and Jianfeng Zhang.