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

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.