On the geometry of the Hamilton-Jacobi-Bellman equation

DOI10.3934/JGM.2009.1.369MaRDI QIDQ973225zbMATH OpenOpenAlexWikidataFDO

Authors Jean-Claude Zambrini

Publication date 28 May 2010

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

Full work available at URL https://doi.org/10.3934/jgm.2009.1.369

zbMATH Keywords

(stochastic) Noether's theoremHamilton-Jacobi equationHamilton-Jacobi-Bellman equationstochastic perturbations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Review text

The author uses a stochastic perturbation of the Hamilton-Jacobi equation to obtain a new approach to Stochastic Analysis and a new geometrical interpretation of the Hamilton-Jacobi-Bellman equation. The paper is written in a geometric language. It includes a quick review on Stochastic Analysis and a clear presentation of the main results, which include a derivation of the Stochastic Noether's theorem, as well as two examples and a discussion on prospects of the stochastic deformation procedure.

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(6)

• Geometric characterization of minimax solutions of the Hamilton-Jacobi equation
• On the Hamilton-Jacobi-Bellman equation by the homotopy perturbation method
• scientific article; zbMATH DE number 2127971 (Why is no real title available?)
• Symmetry reduction of Brownian motion and quantum Calogero-Moser models
• Stochastic deformation of integrable dynamical systems and random time symmetry
• From second-order differential geometry to stochastic geometric mechanics

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