Singular HJB equations with applications to KPZ on the real line
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 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 [Remark 1.1]PR18.
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