The stochastic Hamilton-Jacobi-Bellman equation on Jacobi structures

Abstract: Jacobi structures are known to generalize Poisson structures, encompassing symplectic, cosymplectic, and Lie-Poisson manifolds. Notably, other intriguing geometric structures -- such as contact and locally conformal symplectic manifolds -- also admit Jacobi structures but do not belong to the Poisson category. In this paper, we employ global stochastic analysis techniques, initially developed by Meyer and Schwartz, to rigorously introduce stochastic Hamiltonian systems on Jacobi manifolds. We then propose a stochastic Hamilton-Jacobi-Bellman (HJB) framework as an alternative perspective on the underlying dynamics. We emphasize that many of our results extend the work of Bismut [Bis80, Bis81] and L\'azaro-Cam\'i & Ortega [LCO08, LCO09]. Furthermore, aspects of our geometric Hamilton-Jacobi theory in the stochastic setting draw inspiration from the deterministic contributions of Abraham & Marsden [AM78], de Le\'on & Sard\'on [dLS17], Esen et al. [EdLSZ21], and related literature.