The variational approach to Hamilton-Jacobi equations driven by a Gaussian noise
The paper is devoted to the study of the stochastic Hamilton-Jacobi equation \[ \begin{cases} dX(t,x)+H(t,x,X_x(t,x)) dt = dW(t), &t \in [0,T],\\X(0,x)=X_0(x), &x \in \mathbb{R}^N, \end{cases} \] driven by a Wiener process \(W=W(t,x)\). Based on general convexity assumptions of the Hamiltonian, the author proves global existence and uniqueness of a viscosity solution to the Cauchy problem for the Hamilton-Jacobi equation, which depends a.s. continuously on the initial value \(X_0\). The results are derived via various methods from variational theory. Moreover, the version with a multiplicative Wiener process and a Lipschitzian Hamiltonian, \[ \begin{cases} dX(t,x)+H(t,x,X_x(t,x)) dt = X(t,x) dW(t), &t \in [0,T],\\X(0,x)=X_0(x), &x \in \mathbb{R}^N, \end{cases}\tag{1} \] is examined and solved analogously. Finally, the finite speed of propagation property for the solution of (1) is obtained.
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