Gâteaux type path-dependent PDEs and BSDEs with Gaussian forward processes
Abstract
We are interested in path-dependent semilinear PDEs, where the derivatives are of Gâteaux type in specific directions k and b, being the kernel functions of a Volterra Gaussian process X. Under some conditions on k, b and the coefficients of the PDE, we prove existence and uniqueness of a decoupled mild solution, a notion introduced in a previous paper by the authors. We also show that the solution of the PDE can be represented through BSDEs where the forward (underlying) process is X.
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