On the continuous extension of a generalized solution of the Hamilton–Jacobi equation by characteristics that form a central field of extremals

The Cauchy problem for the Hamilton–Jacobi equation with state constraints is considered. A justification for a construction of a generalized solution with given structure is provided. The construction is based on the method of characteristics and on solutions of problems related to calculus of variations.     

Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

We consider general optimal stochastic control problems and the associated Hamilton–Jacobi–Bellman equations. We develop a general notion of week solutions – called viscosity solutions – of the amilton–Jocobi–Bellman equations that is stable and we show that the optimal cost functions of the control problems are always solutions in that sense of the Hamilton–Jacobi–Bellman equations. We then prove general uniqueness results for viscosity solutions of the Hamilton–Jacobi–Bellman equations.     

The Cauchy problem for ut=Δu+|∇u|q,large-time behaviour

The nonlinear partial differential equation in the title is typified mathematically as a viscous Hamilton–Jacobi equation. It arises in the study of the growth of surfaces, and in that context is known as the generalized deterministic KPZ equation. Considering the Cauchy problem with initial data that are merely supposed to be bounded and continuous, results on the temporal decay and large-time behaviour of solutions are presented. Corresponding results for the heat equation serve as benchmarks.     

Taylor expansions of the value function associated with a bilinear optimal control problem

A general bilinear optimal control problem subject to an infinite-dimensional state equation is considered. Polynomial approximations of the associated value function are derived around the steady state by repeated formal differentiation of the Hamilton–Jacobi–Bellman equation. The terms of the approximations are described by multilinear forms, which can be obtained as solutions to generalized Lyapunov equations with recursively defined right-hand sides. They form the basis for defining a suboptimal feedback law. The approximation properties of this feedback law are investigated. An application to the optimal control of a Fokker–Planck equation is also provided.     

On the Solution of a System of Hamilton–Jacobi Equations of Special Form

The paper is concerned with the investigation of a system of first-order Hamilton–Jacobi equations. We consider a strongly coupled hierarchical system: the first equation is independent of the second, and the Hamiltonian of the second equation depends on the gradient of the solution of the first equation. The system can be solved sequentially. The solution of the first equation is understood in the sense of the theory of minimax (viscosity) solutions and can be obtained with the help of the Lax–Hopf formula. The substitution of the solution of the first equation in the second Hamilton–Jacobi equation results in a Hamilton–Jacobi equation with discontinuous Hamiltonian. This equation is solved with the use of the idea of M-solutions proposed by A. I. Subbotin, and the solution is chosen from the class of multivalued mappings. Thus, the solution of the original system of Hamilton–Jacobi equations is the direct product of a single-valued and multivalued mappings, which satisfy the first and second equations in the minimax and M-solution sense, respectively. In the case when the solution of the first equation is nondifferentiable only along one Rankine–Hugoniot line, existence and uniqueness theorems are proved. A representative formula for the solution of the system is obtained in terms of Cauchy characteristics. The properties of the solution and their dependence on the parameters of the problem are investigated.     

Particular solutions of the Hamilton–Jacobi equation and their usage

We show the possibility of using particular solutions of the Hamilton–Jacobi equation in problems of qualitative analysis of Lagrangian systems with cyclic first integrals. We present a procedure for finding and studying invariant manifolds of such systems. The efficiency of the suggested approach is illustrated by examples of the solution of specific problems.     

A counter-example to the characterization of the discontinuous value function of control problems with reflectionUn contre-exemple à la caractérisation de la fonction-valeur discontinue d'un problème de contrôle réfléchi

We consider a finite horizon deterministic optimal control problem with reflection. The final cost is assumed to be merely a locally bounded function which leads to a discontinuous value function. We address the question of the characterization of the value function as the unique solution of an Hamilton–Jacobi equation with Neumann boundary conditions. We follow the discontinuous approach developed by Barles and Perthame for problems set in the whole space. We prove that the minimal and maximal discontinuous viscosity solutions of the associated Hamilton–Jacobi can be written in terms of value functions of control problems with reflection. Nethertheless, we construct a counter-example showing that the value function is not the unique solution of the equation. To cite this article: O. Ley, C. R. Acad. Sci. Paris, Ser. I 335 (2002) 469–473.     

Homogenization of “Viscous” Hamilton–Jacobi Equations in Stationary Ergodic Media

ABSTRACT

We study the homogenization of “viscous” Hamilton–Jacobi equations in stationary ergodic media. The “viscosity” and the spatial oscillations are assumed to be of the same order. We identify the asymptotic (effective) equation, which is a first-order deterministic Hamilton–Jacobi equation. We also provide examples that show that the associated macroscopic problem does not admit suitable solutions (correctors). Finally, we present as applications results about large deviations of diffusion processes and front propagation (asymptotics of reaction-diffusion equations) in random environments.     

Hamilton–Jacobi equations constrained on networks

We consider continuous-state and continuous-time control problems where the admissible trajectories of the system are constrained to remain on a network. In our setting, the value function is continuous. We define a notion of constrained viscosity solution of Hamilton–Jacobi equations on the network and we study related comparison principles. Under suitable assumptions, we prove in particular that the value function is the unique constrained viscosity solution of the Hamilton–Jacobi equation on the network.     

Schrödinger Equation as a Self-Consistent Field

It is well known that the Schrödinger equation can be reduced to the Hamilton–Jacobi equation in Bohmian mechanics. Corresponding new equations of the Vlasov and Lamb types are derived, and their stationary solutions are investigated.     

The Jacobi elliptic function solutions to a generalized Benjamin–Bona–Mahony equation

Mathematical techniques based on an auxiliary equation and the symbolic computation system Matlab are employed to investigate a generalized Benjamin–Bona–Mahony partial differential equation. The Jacobi elliptic function solutions, the degenerated soliton solutions and the triangle function solutions to the equation are obtained under certain circumstances.     

Stochastic homogenization of Hamilton–Jacobi and degenerate Bellman equations in unbounded environments

We consider the homogenization of Hamilton–Jacobi equations and degenerate Bellman equations in stationary, ergodic, unbounded environments. We prove that, as the microscopic scale tends to zero, the equation averages to a deterministic Hamilton–Jacobi equation and study some properties of the effective Hamiltonian. We discover a connection between the effective Hamiltonian and an eikonal-type equation in exterior domains. In particular, we obtain a new formula for the effective Hamiltonian. To prove the results we introduce a new strategy to obtain almost sure homogenization, completing a program proposed by Lions and Souganidis that previously yielded homogenization in probability. The class of problems we study is strongly motivated by Sznitman?s study of the quenched large deviations of Brownian motion interacting with a Poissonian potential, but applies to a general class of problems which are not amenable to probabilistic tools.     

Long-time behaviour of solutions of a class of nonlinear parabolic equations

In this paper, the long-time behaviour of solutions of a class of nonlinear parabolic equations is studied. It is shown that the solutions of initial-boundary value problem to the equations converge to a travelling wave solution of the equation or a self-similar solution of a Hamilton–Jacobi equation under certain conditions on initial and boundary values of the solutions.     

Optimal debt ratio and dividend payment strategies with reinsurance

This paper derives the optimal debt ratio and dividend payment strategies for an insurance company. Taking into account the impact of reinsurance policies and claims from the credit derivatives, the surplus process is stochastic that is jointly determined by the reinsurance strategies, debt levels, and unanticipated shocks. The objective is to maximize the total expected discounted utility of dividend payment until financial ruin. Using dynamic programming principle, the value function is the solution of a second-order nonlinear Hamilton–Jacobi–Bellman equation. The subsolution–supersolution method is used to verify the existence of classical solutions of the Hamilton–Jacobi–Bellman equation. The explicit solution of the value function is derived and the corresponding optimal debt ratio and dividend payment strategies are obtained in some special cases. An example is provided to illustrate the methodologies and some interesting economic insights.     

Using methods of classical and quantum physics in bioenergy

Theoretical and Mathematical Physics - We consider the construction of asymptotic solutions of linear equations related to equations of classical mechanics: the Hamilton–Jacobi equation and...     

Lagrangian submanifolds and the Hamilton–Jacobi equation

Lagrangian submanifolds are becoming a very essential tool to generalize and geometrically understand results and procedures in the area of mathematical physics. The geometric version of the Hamilton–Jacobi equation in terms of Lagrangian submanifolds enables here some novel interesting applications of the Hamilton–Jacobi equation in holonomic, nonholonomic and time-dependent dynamics from a geometrical point of view.     

Approximation of an optimal value of a Bolza functional

In this article, we show that under reasonable assumptions every Lipschitz-continuous solution to a Hamilton–Jacobi inequality approximates with a priori known error the optimal value of a respective Bolza functional and that such approximation is stable. The solutions of Hamilton–Jacobi variational inequalities can be easily obtained by well-known numerical methods as approximate solutions of Hamilton–Jacobi equations resulting from related Bolza functionals. The main strength of this approach lies in the fact that both precise solution to the Hamilton–Jacobi PDE and the distance between that solution and its numerical approximation need not be known in order to solve the original Bolza problem.     

Envelopes and nonconvex Hamilton–Jacobi equations

This paper introduces a new representation formula for viscosity solutions of nonconvex Hamilton–Jacobi PDE using “generalized envelopes” of affine solutions. We study as well envelope and singular characteristic constructions of equivocal surfaces and discuss also differential game theoretic interpretations. In memory of Arik A. Melikyan.      

Asymptotic analysis for the eikonal equation with the dynamical boundary conditions

We study the dynamical boundary value problem for Hamilton‐Jacobi equations of the eikonal type with a small parameter. We establish two results concerning the asymptotic behavior of solutions of the Hamilton‐Jacobi equations: one concerns with the convergence of solutions as the parameter goes to zero and the other with the large‐time asymptotics of solutions of the limit equation.