Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations

We study stochastic Hamilton-Jacobi-Bellman equations and the corresponding Hamiltonian systems driven by jump-type Levy processes. The main objective of the present paper is to show existence, uniqueness and a (locally in time) diffeomorphism property of the solution: the solution trajectory of the system is a diffeomorphism as a function of the initial momentum. This result enables us to implement a stochastic version of the classical method of characteristics for the Hamilton-Jacobi equations. An –in itself interesting– auxiliary result are pointwise a.s. estimates for iterated stochastic integrals driven by a vector of not necessarily independent jump-type semimartingales.