English

Mean viability theorems and second-order Hamilton-Jacobi equations

Analysis of PDEs 2024-03-25 v4 Optimization and Control Probability

Abstract

We introduce the notion of mean viability for controlled stochastic differential equations and establish counterparts of Nagumo's classical viability theorems (necessary and sufficient conditions for mean viability). As an application, we provide a purely probabilistic proof of a comparison principle and of existence for contingent and viscosity solutions of second-order fully nonlinear path-dependent Hamilton-Jacobi-Bellman equations. We do not use compactness and optimal stopping arguments, which are usually employed in the literature on viscosity solutions for second-order path-dependent PDEs.

Keywords

Cite

@article{arxiv.2208.13276,
  title  = {Mean viability theorems and second-order Hamilton-Jacobi equations},
  author = {Christian Keller},
  journal= {arXiv preprint arXiv:2208.13276},
  year   = {2024}
}

Comments

28 pages, to appear in SIAM Journal on Control and Optimization

R2 v1 2026-06-25T02:02:26.342Z