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Eikonal equations and pathwise solutions to fully non-linear SPDEs

Authors :
Friz, Peter K.
Gassiat, Paul
Lions, Pierre-Louis
Souganidis, Panagiotis E.
Publication Year :
2016

Abstract

We study the existence and uniqueness of the stochastic viscosity solutions of fully nonlinear, possibly degenerate, second order stochastic pde with quadratic Hamiltonians associated to a Riemannian geometry. The results are new and extend the class of equations studied so far by the last two authors.

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1602.04746
Document Type :
Working Paper