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Pathwise stochastic control and a class of stochastic partial differential equations

arXiv 2301.09214 ↗First posted 22 Jan 2023math.PR math.AP math.OCcited by 1

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Abstract (arXiv)

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.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 22 Jan 2023.

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