4.4 Article

Perron's method for pathwise viscosity solutions

Journal

COMMUNICATIONS IN PARTIAL DIFFERENTIAL EQUATIONS
Volume 43, Issue 6, Pages 998-1018

Publisher

TAYLOR & FRANCIS INC
DOI: 10.1080/03605302.2018.1488262

Keywords

stochastic partial differential equations; viscosity solutions; non-linear parabolic equations; existence problems; comparison principle

Funding

  1. National Science Foundation (NSF) Research Training Group (RTG) [DMS1246999]
  2. NSF [DMS-1266383, DMS-1600129]
  3. Office of Naval Research (ONR) [N000141712095]

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We use Perron's method to construct viscosity solutions of fully non-linear degenerate parabolic pathwise (rough) partial differential equations. This provides an intrinsic method for proving the existence of solutions that relies only on a comparison principle, rather than considering equations driven by smooth approximating paths. The result covers the case of multidimensional geometric rough path noise, where the noise coefficients depend non-trivially on space and on the gradient of the solution. Also included in this note is a discussion of the comparison principle and a summary of the pathwise equations for which one has been proved.

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