About classical solutions of the path-dependent heat equation

Abstract : This paper investigates two existence theorems for the path-dependent heat equation, which is the Kolmogorov equation related to the window Brownian motion, considered as a C([−T, 0])-valued process. We concentrate on two general existence results of its classical solutions related to different classes of final conditions: the first one is given by a cylindrical non necessarily smooth r.v., the second one is a smooth generic functional.
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Contributor : Francesco Russo <>
Submitted on : Saturday, December 8, 2018 - 12:58:02 PM
Last modification on : Wednesday, July 3, 2019 - 10:48:04 AM

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  • HAL Id : hal-01762783, version 2
  • ARXIV : 1804.03845

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Cristina Di Girolami, Francesco Russo. About classical solutions of the path-dependent heat equation. 2018. ⟨hal-01762783v2⟩

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