most citedNon-local Hamilton-Jacobi-Bellman equations for the stochastic optimal control of path-dependent piecewise deterministic processes

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math.AP2024

Path-dependent Hamilton-Jacobi equations with u-dependence and time-measurable Hamiltonians

Elena Bandini, Christian Keller

We establish existence and uniqueness of minimax solutions for a fairly general class of path-dependent Hamilton-Jacobi equations. In particular, the relevant Hamiltonians can cont…