Controlled Ordinary Differential Equations with Random Path-Dependent Coefficients and Stochastic Path-Dependent Hamilton-Jacobi Equations

2020/05/04 by Qiu, Jinniao
#FOS: Mathematics #Optimization and Control (math.OC) #Probability (math.PR)

paper · doi:10.48550/arxiv.2005.01232

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.

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