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September  2009, 1(3): 295-315. doi: 10.3934/jgm.2009.1.295

The stochastic Hamilton-Jacobi equation

Joan-Andreu Lázaro-Camí 1, and  Juan-Pablo Ortega 2,

1. 

Department of Mathematics, Imperial College, South Kensington Campus, London SW7 2AZ, United Kingdom
2. 

Centre National de la Recherche Scientifique, Laboratoire de Mathématiques de Besançon, Université de Franche-Comté, UFR des Sciences et Techniques, 16, route de Gray, F-25030 Besançon cedex, France

Received  May 2008 Revised  August 2009 Published  November 2009

We extend some aspects of the Hamilton-Jacobi theory to the category of stochastic Hamiltonian dynamical systems. More specifically, we show that the stochastic action satisfies the Hamilton-Jacobi equation when, as in the classical situation, it is written as a function of the configuration space using a regular Lagrangian submanifold. Additionally, we will use a variation of the Hamilton-Jacobi equation to characterize the generating functions of one-parameter groups of symplectomorphisms that allow to rewrite a given stochastic Hamiltonian system in a form whose solutions are very easy to find; this result recovers in the stochastic context the classical solution method by reduction to the equilibrium of a Hamiltonian system.
Keywords: Hamilton-Jacobi equation., Hamiltonian stochastic differential equation, stochastic differential equation.
Mathematics Subject Classification: Primary: 70H20, 81P2.
Citation: Joan-Andreu Lázaro-Camí, Juan-Pablo Ortega. The stochastic Hamilton-Jacobi equation. Journal of Geometric Mechanics, 2009, 1 (3) : 295-315. doi: 10.3934/jgm.2009.1.295
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