The stochastic Hamilton-Jacobi equation

DOI10.3934/JGM.2009.1.295zbMATH Open1278.60104arXiv0806.0993OpenAlexW2963659812MaRDI QIDQ973220FDOQ973220

Authors: Joan-Andreu Lázaro-Camí, Juan-Pablo Ortega 

Publication date: 28 May 2010

Published in: Journal of Geometric Mechanics (Search for Journal in Brave)

Abstract: We extend some aspects of the Hamilton-Jacobi theory to the category of stochastic Hamiltonian dynamical systems. More specifically, we show that the stochastic action satisfies the Hamilton-Jacobi equation when, as in the classical situation, it is written as a function of the configuration space using a regular Lagrangian submanifold. Additionally, we will use a variation of the Hamilton-Jacobi equation to characterize the generating functions of one-parameter groups of symplectomorphisms that allow to rewrite a given stochastic Hamiltonian system in a form whose solutions are very easy to find; this result recovers in the stochastic context the classical solution method by reduction to the equilibrium of a Hamiltonian system.

Full work available at URL: https://arxiv.org/abs/0806.0993

Recommendations

• Stochastic Hamiltonian dynamical systems
• scientific article; zbMATH DE number 780718
• Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations
• scientific article; zbMATH DE number 1241994
• Hamilton-Jacobi theory and the stochastic elementary formula

zbMATH Keywords

stochastic differential equationHamilton-Jacobi equationHamiltonian stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Hamilton-Jacobi equations in mechanics (70H20) Hamilton's principle (70H25)

Cited In (25)

• Hamilton-Jacobi theory and the stochastic elementary formula
• The variational approach to Hamilton-Jacobi equations driven by a Gaussian noise
• From second-order differential geometry to stochastic geometric mechanics
• On the geometry of the Hamilton-Jacobi-Bellman equation
• Momentum maps and stochastic Clebsch action principles
• Hamilton-Jacobi theorems for regular reducible Hamiltonian systems on a cotangent bundle
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Parametric Hamilton’s equations for stochastic systems
• Stochastic modification of Newtonian dynamics and induced potential—Application to spiral galaxies and the dark potential
• Generating functions for stochastic symplectic methods
• Symmetry reduction of Brownian motion and quantum Calogero-Moser models
• Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations
• Stochastic Hamiltonian dynamical systems
• Modelling of stochastic dynamic systems using Hamilton's law of varying action
• Hamilton-Jacobi equations for a regular controlled Hamiltonian system and its reduced systems
• Stochastic generalized fractional HP equations and applications
• Title not available (Why is that?)
• On stochastic Helmholtz problem with degenerated Lagrangian
• Analytical mechanics in stochastic dynamics: most probable path, large-deviation rate function and Hamilton-Jacobi equation
• Title not available (Why is that?)
• On noisy extensions of nonholonomic constraints
• Symmetric Reduction and Hamilton-Jacobi Equations of the Controlled Underwater Vehicle-Rotor System
• Stochastic variational principles for dissipative equations with advected quantities

This page was built for publication: The stochastic Hamilton-Jacobi equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q973220)