The stochastic value function on metric measure spaces

arxiv: 1612.06280 · v1 · pith:PBCOEPXNnew · submitted 2016-12-16 · 🧮 math.AP · math.OC

The stochastic value function on metric measure spaces

Ugo Bessi This is my paper

classification 🧮 math.AP math.OC

keywords functionmeasuremetricspacestochasticvalueborelcompact

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Let $(S,d)$ be a compact metric space and let $m$ be a Borel probability measure on $(S,d)$. We shall prove that, if $(S,d,m)$ is a $RCD(K,\infty)$ space, then the stochastic value function satisfies the viscous Hamilton-Jacobi equation, exactly as in Fleming's theorem on ${\bf R}^d$.

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The stochastic value function on metric measure spaces

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