UNIQUENESS OF VISCOSITY SOLUTIONS OF STOCHASTIC HAMILTON-JACOBI EQUATIONS  

作　　者：Jinniao QIU Wenning WEI 仇金鸟;魏文宁(Department of Mathematics & Statistics, University of Calgary)

机构地区：[1]Department of Mathematics & Statistics, University of Calgary

出　　处：《Acta Mathematica Scientia》2019年第3期857-873,共17页数学物理学报（B辑英文版）

基　　金：partially supported by the National Science and Engineering Research Council of Canada(NSERC);the start-up funds from the University of Calgary

摘　　要：This article is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi (HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity assumptions on the coefficients, the value function is proved to be the unique viscosity solution of the associated stochastic HJ equation.This article is devoted to the study of fully nonlinear stochastic Hamilton-Jacobi(HJ) equations for the optimal stochastic control problem of ordinary differential equations with random coefficients. Under the standard Lipschitz continuity assumptions on the coefficients, the value function is proved to be the unique viscosity solution of the associated stochastic HJ equation.

关 键 词：STOCHASTIC HAMILTON-JACOBI EQUATION optimal STOCHASTIC control BACKWARD STOCHASTIC partial differential EQUATION viscosity solution 

分 类 号：O[理学]