Pathwise stochastic control and a class of stochastic partial differential equations

Autor:	Bhauryal, Neeraj, Cruzeiro, Ana Bela, Oliveira, Carlos
Rok vydání:	2023
Předmět:	Mathematics - Probability Mathematics - Analysis of PDEs Mathematics - Optimization and Control 93E20 35D40 60H15
Druh dokumentu:	Working Paper
Popis:	We consider a pathwise stochastic optimal control problem and study the associated (not necessarily adapted) Hamilton-Jacobi-Bellman stochastic partial differential equation. We show that the value process is the unique solution of this equation, in the viscosity sense. Finally, we discuss a version of some corresponding stochastic pathwise Noether theorem. Comment: 18 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2301.09214 Zobrazit plný text záznamu View this record from Arxiv