Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations

DOI10.1007/s10473-019-0314-3zbMath1499.49079arXiv1807.04882OpenAlexW2962970577MaRDI QIDQ2153090

Jinniao Qiu, Wenning Wei

Publication date: 1 July 2022

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.04882

zbMATH Keywords

viscosity solutionoptimal stochastic controlbackward stochastic partial differential equationstochastic Hamilton-Jacobi equation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21)

Related Items (5)

On first order mean field game systems with a common noise ⋮ Stochastic differential games with random coefficients and stochastic Hamilton-Jacobi-Bellman-Isaacs equations ⋮ A minimum principle for stochastic optimal control problem with interval cost function ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations

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