English

The stochastic value function on metric measure spaces

Analysis of PDEs 2016-12-20 v1 Optimization and Control

Abstract

Let (S,d)(S,d) be a compact metric space and let mm be a Borel probability measure on (S,d)(S,d). We shall prove that, if (S,d,m)(S,d,m) is a RCD(K,)RCD(K,\infty) space, then the stochastic value function satisfies the viscous Hamilton-Jacobi equation, exactly as in Fleming's theorem on Rd{\bf R}^d.

Keywords

Cite

@article{arxiv.1612.06280,
  title  = {The stochastic value function on metric measure spaces},
  author = {Ugo Bessi},
  journal= {arXiv preprint arXiv:1612.06280},
  year   = {2016}
}
R2 v1 2026-06-22T17:28:26.900Z