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Pré-Publication, Document De Travail Année : 2018

About classical solutions of the path-dependent heat equation

Résumé

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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Dates et versions

hal-01762783 , version 1 (10-04-2018)
hal-01762783 , version 2 (08-12-2018)
hal-01762783 , version 3 (02-02-2020)

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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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