1,180 research outputs found
A short proof of the --regularity of viscosity subsolutions for superquadratic viscous Hamilton-Jacobi equations and applications
Recently I. Capuzzo Dolcetta, F. Leoni and A. Porretta obtain a very
surprising regularity result for fully nonlinear, superquadratic, elliptic
equations by showing that viscosity subsolutions of such equations are locally
H\"older continuous, and even globally if the boundary of the domain is regular
enough. The aim of this paper is to provide a simplified proof of their
results, together with an interpretation of the regularity phenomena, some
extensions and various applications
user's guide to viscosity solutions of second order partial differential equations
The notion of viscosity solutions of scalar fully nonlinear partial
differential equations of second order provides a framework in which startling
comparison and uniqueness theorems, existence theorems, and theorems about
continuous dependence may now be proved by very efficient and striking
arguments. The range of important applications of these results is enormous.
This article is a self-contained exposition of the basic theory of viscosity
solutions.Comment: 67 page
On a parabolic Hamilton-Jacobi-Bellman equation degenerating at the boundary
We derive the long time asymptotic of solutions to an evolutive
Hamilton-Jacobi-Bellman equation in a bounded smooth domain, in connection with
ergodic problems recently studied in \cite{bcr}. Our main assumption is an
appropriate degeneracy condition on the operator at the boundary. This
condition is related to the characteristic boundary points for linear operators
as well as to the irrelevant points for the generalized Dirichlet problem, and
implies in particular that no boundary datum has to be imposed. We prove that
there exists a constant such that the solutions of the evolutive problem
converge uniformly, in the reference frame moving with constant velocity ,
to a unique steady state solving a suitable ergodic problem.Comment: 12p
An approximation scheme for an Eikonal Equation with discontinuous coefficient
We consider the stationary Hamilton-Jacobi equation where the dynamics can
vanish at some points, the cost function is strictly positive and is allowed to
be discontinuous. More precisely, we consider special class of discontinuities
for which the notion of viscosity solution is well-suited. We propose a
semi-Lagrangian scheme for the numerical approximation of the viscosity
solution in the sense of Ishii and we study its properties. We also prove an
a-priori error estimate for the scheme in an integral norm. The last section
contains some applications to control and image processing problems
Large time behavior of solutions of viscous Hamilton-Jacobi Equations with superquadratic Hamiltonian
We study the long-time behavior of the unique viscosity solution of the
viscous Hamilton-Jacobi Equation with inhomogeneous Dirichlet boundary conditions,
where is a bounded domain of . We mainly focus on the
superquadratic case () and consider the Dirichlet conditions in the
generalized viscosity sense. Under rather natural assumptions on the
initial and boundary data, we connect the problem studied to its associated
stationary generalized Dirichlet problem on one hand and to a stationary
problem with a state constraint boundary condition on the other hand
Transformation Method for Solving Hamilton-Jacobi-Bellman Equation for Constrained Dynamic Stochastic Optimal Allocation Problem
In this paper we propose and analyze a method based on the Riccati
transformation for solving the evolutionary Hamilton-Jacobi-Bellman equation
arising from the stochastic dynamic optimal allocation problem. We show how the
fully nonlinear Hamilton-Jacobi-Bellman equation can be transformed into a
quasi-linear parabolic equation whose diffusion function is obtained as the
value function of certain parametric convex optimization problem. Although the
diffusion function need not be sufficiently smooth, we are able to prove
existence, uniqueness and derive useful bounds of classical H\"older smooth
solutions. We furthermore construct a fully implicit iterative numerical scheme
based on finite volume approximation of the governing equation. A numerical
solution is compared to a semi-explicit traveling wave solution by means of the
convergence ratio of the method. We compute optimal strategies for a portfolio
investment problem motivated by the German DAX 30 Index as an example of
application of the method
On the problem of maximal -regularity for viscous Hamilton-Jacobi equations
For , we prove that maximal regularity of type holds
for periodic solutions to in ,
under the (sharp) assumption .Comment: 11 page
Homogenization of weakly coupled systems of Hamilton--Jacobi equations with fast switching rates
We consider homogenization for weakly coupled systems of Hamilton--Jacobi
equations with fast switching rates. The fast switching rate terms force the
solutions converge to the same limit, which is a solution of the effective
equation. We discover the appearance of the initial layers, which appear
naturally when we consider the systems with different initial data and analyze
them rigorously. In particular, we obtain matched asymptotic solutions of the
systems and rate of convergence. We also investigate properties of the
effective Hamiltonian of weakly coupled systems and show some examples which do
not appear in the context of single equations.Comment: final version, to appear in Arch. Ration. Mech. Ana
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