We prove the existence of a viscosity solution of the following path dependent nonlinear Kolmogorov equation: where , ≔ and ≔ The result is obtained by a stochastic approach. More precisely, we prove a new type of nonlinear Feynman–Kac representation formula associated to a backward stochastic differential equation with time-delayed generator, which is of non-Markovian type. Applications to the large investor problem and risk measures via –expectations are also provided.
|Titolo:||A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance|
DI PERSIO, Luca (Corresponding)
|Data di pubblicazione:||2020|
|Appare nelle tipologie:||01.01 Articolo in Rivista|