Pathwise stochastic control and a class of stochastic partial differential equations
Probability
2023-11-02 v2 Analysis of PDEs
Optimization and Control
Abstract
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.
Cite
@article{arxiv.2301.09214,
title = {Pathwise stochastic control and a class of stochastic partial differential equations},
author = {Neeraj Bhauryal and Ana Bela Cruzeiro and Carlos Oliveira},
journal= {arXiv preprint arXiv:2301.09214},
year = {2023}
}
Comments
18 pages