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arXiv · 2007.06783

Singular HJB equations with applications to KPZ on the real line

Xicheng Zhang·Rongchan Zhu·Xiangchan Zhu
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Abstract

This paper is devoted to studying the Hamilton-Jacobi-Bellman equations with distribution-valued coefficients, which is not well-defined in the classical sense and shall be understood by using paracontrolled distribution method introduced in \cite{GIP15}. By a new characterization of weighted H\"older space and Zvonkin's transformation we prove some new a priori estimates, and therefore, establish the global well-posedness for singular HJB equations. As an application, the global well-posedness for KPZ equations on the real line in polynomial weighted H\"older spaces is obtained without using Cole-Hopf's transformation. In particular, we solve the conjecture posed in \cite[Remark 1.1]{PR18}.

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BibTeXRIS

Xicheng Zhang, Rongchan Zhu, Xiangchan Zhu. 2020-07-14. Singular HJB equations with applications to KPZ on the real line. https://arxiv.org/abs/2007.06783

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