Singular HJB equations with applications to KPZ on the real line
Probability
2020-07-15 v1 Mathematical Physics
Analysis of PDEs
math.MP
Abstract
This paper is devoted to studying the Hamilton-Jacobi-Bellman equations with distribution-valued coefficients, which is not well-defined in the classical sense and shall be understood by using paracontrolled distribution method introduced in \cite{GIP15}. By a new characterization of weighted H\"older space and Zvonkin's transformation we prove some new a priori estimates, and therefore, establish the global well-posedness for singular HJB equations. As an application, the global well-posedness for KPZ equations on the real line in polynomial weighted H\"older spaces is obtained without using Cole-Hopf's transformation. In particular, we solve the conjecture posed in \cite[Remark 1.1]{PR18}.
Keywords
Cite
@article{arxiv.2007.06783,
title = {Singular HJB equations with applications to KPZ on the real line},
author = {Xicheng Zhang and Rongchan Zhu and Xiangchan Zhu},
journal= {arXiv preprint arXiv:2007.06783},
year = {2020}
}
Comments
50 pages