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Register a new userUniqueness of the viscosity solution of a constrained Hamilton-Jacobi equation
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In quantitative genetics, viscosity solutions of Hamilton-Jacobi equations appear naturally in the asymptotic limit of selection-mutation models when the population variance vanishes. They have to be solved together with an unknown function I(t) that arises as the counterpart of a non-negativity constraint on the solution at each time. Although the uniqueness of viscosity solutions is known for many variants of Hamilton-Jacobi equations, the uniqueness for this particular type of constrained problem was not resolved, except in a few particular cases. Here, we provide a general answer to the uniqueness problem, based on three main assumptions: convexity of the Hamiltonian function H(I, x, p) with respect to p, monotonicity of H with respect to I, and BV regularity of I(t).
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We prove existence and uniqueness of Crandall-Lions viscosity solutions of Hamilton-Jacobi-Bellman equations in the space of continuous paths, associated to the optimal control of path-dependent SDEs. This seems the first uniqueness result in such a context. More precisely, similarly to the seminal paper of P.L. Lions, the proof of our core result, that is the comparison theorem, is based on the fact that the value function is bigger than any viscosity subsolution and smaller than any viscosity supersolution. Such a result, coupled with the proof that the value function is a viscosity solution (based on the dynamic programming principle, which we prove), implies that the value function is the unique viscosity solution to the Hamilton-Jacobi-Bellman equation. The proof of the comparison theorem in P.L. Lions paper, relies on regularity results which are missing in the present infinite-dimensional context, as well as on the local compactness of the finite-dimensional underlying space. We overcome such non-trivial technical difficulties introducing a suitable approximating procedure and a smooth gauge-type function, which allows to generate maxima and minima through an appropriate version of the Borwein-Preiss generalization of Ekelands variational principle on the space of continuous paths.
We consider the Cauchy problem for the Hamilton-Jacobi equation with critical dissipation, $$ partial_t u + (-Delta)^{ 1/2} u = | abla u|^p, quad x in mathbb R^N, t > 0, qquad u(x,0) = u_0(x) , quad x in mathbb R^N, $$ where $p > 1$ and $u_0 in B^1_{r,1}(mathbb R^N) cap B^1_{infty,1} (mathbb R^N)$ with $r in [1,infty]$. We show that for sufficiently small $u_0 in dot B^1_{infty,1}(mathbb R^N)$, there exists a global-in-time mild solution. Furthermore, we prove that the solution behaves asymptotically like suitable multiplies of the Poisson kernel.
We investigate the convergence rate in the vanishing viscosity process of the solutions to the subquadratic state-constraint Hamilton-Jacobi equations. We give two different proofs of the fact that, for nonnegative Lipschitz data that vanish on the boundary, the rate of convergence is $mathcal{O}(sqrt{varepsilon})$ in the interior. Moreover, the one-sided rate can be improved to $mathcal{O}(varepsilon)$ for nonnegative compactly supported data and $mathcal{O}(varepsilon^{1/p})$ (where $1<p<2$ is the exponent of the gradient term) for nonnegative data $fin mathrm{C}^2(overline{Omega})$ such that $f = 0$ and $Df = 0$ on the boundary. Our approach relies on deep understanding of the blow-up behavior near the boundary and semiconcavity of the solutions.
Sharp temporal decay estimates are established for the gradient and time derivative of solutions to a viscous Hamilton-Jacobi equation as well the associated Hamilton-Jacobi equation. Special care is given to the dependence of the estimates on the viscosity. The initial condition being only continuous and either bounded or non-negative. The main requirement on the Hamiltonians is that it grows superlinearly or sublinearly at infinity, including in particular H(r) = r^p for r non-negatif and p positif and different from 1.
We study the Bellman equation in the Wasserstein space arising in the study of mean field control problems, namely stochastic optimal control problems for McKean-Vlasov diffusion processes. Using the standard notion of viscosity solution {`a} la Crandall-Lions extended to our Wasserstein setting, we prove a comparison result under general conditions, which coupled with the dynamic programming principle, implies that the value function is the unique viscosity solution of the Master Bellman equation. This is the first uniqueness result in such a second-order context. The classical arguments used in the standard cases of equations in finite-dimensional spaces or in infinite-dimensional separable Hilbert spaces do not extend to the present framework, due to the awkward nature of the underlying Wasserstein space. The adopted strategy is based on finite-dimensional approximations of the value function obtained in terms of the related cooperative n-player game, and on the construction of a smooth gauge-type function, built starting from a regularization of a sharpe estimate of the Wasserstein metric; such a gauge-type function is used to generate maxima/minima through a suitable extension of the Borwein-Preiss generalization of Ekelands variational principle on the Wasserstein space.
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