Pathwise stochastic control and a class of stochastic partial differential equations

Authors Neeraj Bhauryal, Ana Bela Cruzeiro, Carlos M. Oliveira

Publication date 22 January 2023

Viscosity solutions to PDEs (35D40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Abstract: We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this equation, in the viscosity sense. Finally, we discuss a version of some corresponding stochastic pathwise Noether theorem.

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