Path-dependent equations and viscosity solutions in infinite dimension

Andrea Cosso, Salvatore Federico, Fausto Gozzi, Mauro Rosestolato, Nizar Touzi

Published 2015-02-19Version 1

Path Dependent PDE's (PPDE's) are natural objects to study when one deals with non Markovian models. Recently, after the introduction (see [12]) of the so-called pathwise (or functional or Dupire) calculus, various papers have been devoted to study the well-posedness of such kind of equations, both from the point of view of regular solutions (see e.g. [18]) and viscosity solutions (see e.g. [13]), in the case of finite dimensional underlying space. In this paper, motivated by the study of models driven by path dependent stochastic PDE's, we give a first well-posedness result for viscosity solutions of PPDE's when the underlying space is an infinite dimensional Hilbert space. The proof requires a substantial modification of the approach followed in the finite dimensional case. We also observe that, differently from the finite dimensional case, our well-posedness result, even in the Markovian case, apply to equations which cannot be treated, up to now, with the known theory of viscosity solutions.