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Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton–Jacobi equations

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  • Qiu, Jinniao

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 space 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.

Suggested Citation

  • Qiu, Jinniao, 2022. "Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton–Jacobi equations," Stochastic Processes and their Applications, Elsevier, vol. 154(C), pages 1-25.
    • Handle: RePEc:eee:spapps:v:154:y:2022:i:c:p:1-25
    DOI: 10.1016/j.spa.2022.09.001
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    References listed on IDEAS

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