Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations

DOI10.1016/J.SPA.2022.09.001MaRDI QIDQ2093689zbMATH OpenOpenAlexWikidataFDO

Authors Jinniao Qiu

Publication date 27 October 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.01232

zbMATH Keywords

backward stochastic partial differential equationstochastic optimal controlstochastic path-dependent Hamilton-Jacobi equationviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Abstract: This paper is devoted to the stochastic optimal control problem of ordinary differential equations allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases, the value function turns out to be a random field on the path spaces and it is characterized by a stochastic path-dependent Hamilton-Jacobi (SPHJ) equation. A notion of viscosity solution is proposed and the value function is proved to be the unique viscosity solution to the associated SPHJ equation.

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Cited in

(8)

• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• A quasi-sure approach to the control of non-Markovian stochastic differential equations
• Stochastic control and differential games with path-dependent influence of controls on dynamics and running cost
• Path-dependent Hamilton-Jacobi-Bellman equations related to controlled stochastic functional differential systems
• Pathwise Stochastic Control Problems and Stochastic HJB Equations
• Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations
• Pathwise stochastic control and a class of stochastic partial differential equations
• Path-dependent Hamilton-Jacobi equations with u-dependence and time-measurable Hamiltonians

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