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

DOI10.1016/j.spa.2022.09.001zbMath1500.49007arXiv2005.01232OpenAlexW3021448757WikidataQ115341098 ScholiaQ115341098MaRDI QIDQ2093689

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

viscosity solutionstochastic optimal controlbackward stochastic partial differential equationstochastic path-dependent Hamilton-Jacobi equation

Mathematics Subject Classification ID

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

Related Items (1)

Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations

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