Approximate viscosity solutions of path-dependent PDEs and Dupire’s vertical differentiability

Abstract

We introduce a notion of approximate viscosity solutions for a class of nonlinear path-dependent PDEs (PPDEs), including the Hamilton–Jacobi–Bellman-type equations. Existence, comparaison and stability results have been established under fairly general conditions. It is also consistent with the notion of smooth solution when the dimension is less or equal to two, or the nonlinearity is concave in the second order space derivative. We finally investigate the regularity (in the sense of Dupire) of the solution to the PPDE.