About classical solutions of the path-dependent heat equation
Volume: 28, Issue: 1, Pages: 35 - 62
Published: Feb 5, 2020
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...
Paper Details
Title
About classical solutions of the path-dependent heat equation
Published Date
Feb 5, 2020
Volume
28
Issue
1
Pages
35 - 62
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