Regularization by noise for stochastic Hamilton–Jacobi equations
Résumé
We study regularizing effects of nonlinear stochastic perturbations for fully nonlinear PDE. More precisely, path-by-path L ∞ bounds for the second derivative of solutions to such PDE are shown. These bounds are expressed as solutions to reflected SDE and are shown to be optimal.
Domaines
Probabilités [math.PR]
Fichier principal
Gassiat_Gess---Regularization-by-noise-for-stochastic-HJE---revision-arxiv.pdf (474.6 Ko)
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