Jin-Niao Qiu

Existence and Uniqueness of Viscosity Solutions for Stochastic Hamilton--Jacobi--Bellman Equations

We study stochastic Hamilton--Jacobi--Bellman equations arising from stochastic optimal control problems with random coefficients and possible degenerateness. The viscosity solution is reformulated by using adapted smooth random test fields that touch on stopped space--time neighborhoods almost surely. The state coeffi...