Controlled Ordinary Differential Equations with Random Path-Dependent Coefficients and Stochastic Path-Dependent Hamilton-Jacobi Equations
Optimization and Control
2021-10-25 v6 Probability
Abstract
This paper is devoted to the stochastic optimal control problem of ordinary differential equations allowing for both path-dependence and measurable randomness. As opposed to the deterministic path-dependent cases, the value function turns out to be a random field on the path spaces and it is characterized by a stochastic path-dependent Hamilton-Jacobi (SPHJ) equation. A notion of viscosity solution is proposed and the value function is proved to be the unique viscosity solution to the associated SPHJ equation.
Cite
@article{arxiv.2005.01232,
title = {Controlled Ordinary Differential Equations with Random Path-Dependent Coefficients and Stochastic Path-Dependent Hamilton-Jacobi Equations},
author = {Jinniao Qiu},
journal= {arXiv preprint arXiv:2005.01232},
year = {2021}
}
Comments
26 pages