The variational approach to Hamilton-Jacobi equations driven by a Gaussian noise

被引：0
|
作者：
Barbu, Viorel [1 ,2 ]
机构：
[1] Alexandru Ioan Cuza Univ, Iasi, Romania
[2] Romanian Acad, Octav Mayer Inst Math, Iasi, Romania
来源：
JOURNAL OF DIFFERENTIAL EQUATIONS | 2013年 / 255卷 / 11期
关键词：
Hamilton-Jacobi equation; Brownian motion; Viscosity solution; Stochastic process; VISCOSITY SOLUTIONS; INTEGRALS;
D O I：
10.1016/j.jde.2013.07.044
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The global existence and uniqueness of viscosity solutions to the Cauchy problem for the Hamilton-Jacobi equations in RN driven by additive and multiplicative Wiener processes are studied for convex Hamiltonians via variational techniques. The finite speed of propagation is also established in the multiplicative noise case for equations with Lipschitzian Hamiltonians. (C) 2013 Elsevier Inc. All rights reserved.
引用
收藏
页码：3832 / 3847
页数：16
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