Uniqueness of viscosity solutions of stochastic Hamilton-Jacobi equations
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Publication:2153090
DOI10.1007/S10473-019-0314-3zbMATH Open1499.49079arXiv1807.04882OpenAlexW2962970577MaRDI QIDQ2153090
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Publication date: 1 July 2022
Published in: (Search for Journal in Brave)
Abstract: This paper is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity assumptions on the coefficients, the value function is proved to be the unique viscosity solution of the associated stochastic HJ equation.
Full work available at URL: https://arxiv.org/abs/1807.04882
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