The large-time behavior of solutions of the Cauchy-Dirichlet problem for Hamilton-Jacobi equations

We investigate the large-time behavior of viscosity solutions of the Cauchy-Dirichlet problem (CD) for Hamilton-Jacobi equations on bounded domains. We establish general convergence results for viscosity solutions of (CD) by using the Aubry-Mather theory.      

Harnack Inequalities and Bôcher‐Type Theorems for Conformally Invariant,Fully Nonlinear Degenerate Elliptic Equations

We give a generalization of a theorem of Bôcher for the Laplace equation to a class of conformally invariant fully nonlinear degenerate elliptic equations. We also prove a Harnack inequality for locally Lipschitz viscosity solutions and a classification of continuous radially symmetric viscosity solutions. © 2014 Wiley Periodicals, Inc.     

Viscosity Solutions for the Two-Phase Stefan Problem

We introduce a notion of viscosity solutions for the two-phase Stefan problem, which incorporates possible existence of a mushy region generated by the initial data. We show that a comparison principle holds between viscosity solutions, and investigate the coincidence of the viscosity solutions and the weak solutions defined via integration by parts. In particular, in the absence of initial mushy region, viscosity solution is the unique weak solution with the same boundary data.     

Large time behavior of solutions of Hamilton–Jacobi equations with periodic boundary data

We study the large time behavior of viscosity solutions of Hamilton–Jacobi equations with periodic boundary data on bounded domains. We establish a result on convergence of viscosity solutions to state constraint asymptotic solutions or periodic asymptotic solutions depending on the sign of critical value as time goes to infinity.     

Boundary Regularity for Viscosity Solutions of Fully Nonlinear Elliptic Equations

We provide regularity results at the boundary for continuous viscosity solutions to nonconvex fully nonlinear uniformly elliptic equations and inequalities in Euclidian domains. We show that (i) any solution of two sided inequalities with Pucci extremal operators is C ^{1, α} on the boundary; (ii) the solution of the Dirichlet problem for fully nonlinear uniformly elliptic equations is C ^{2, α} on the boundary; (iii) corresponding asymptotic expansions hold. This is an extension to viscosity solutions of the classical Krylov estimates for smooth solutions.     

Artifical and physical viscosity solutions for a hyperbolic conservation system

In this paper, a new maximum principle is introduced to study positive lower bounds of the density both for the artificial viscosity solutions and for the physical viscosity solutions of a 'hyperbolic conservationsystem derived from the Broadwell model and the global existence of theseviscosity solutions is obtained. We give some simple numerical results fordiscontinuous initial data.     

Generalized solutions for a class of non-uniformaly elliptic equations in divergence form

We study a general class of quasilinear non-uniformly elliptic pdes in divergence from with linear growth in the gradient. We examine the notions of BV and viscosity solutions and derive for such generalized solutions various a priori pointwise and integral estimates, including a Harnack inequality. In particular we prove that viscosity solutions are unique (on strictly convex domains), are contained in the space BV ^loc and are C ^1,α almost everywhere.     

On viscosity solutions of fully nonlinear equations with measurable ingredients

We study fully nonlinear, uniformly elliptic equations with measurable ingredients. Caffarelli's recent work on W^2,p estimates for viscosity solutions has led to significant progress in this area. Here we present a unified treatment of this theory based on an appropriate notion of viscosity solution. For instance, it is shown that strong solutions are viscosity solutions, that viscosity solutions are twice differentiable a.e., and that the pointwise derivatives satisfy the equation a.e. An important consequence of our approach is the possibility of passage to various kinds of limits in fully nonlinear equations. This extends results of this type due to Evans and Krylov. Our work is to some extent expository, the main purpose being to provide an easily accessible set of tools and techniques to study equations with measurable ingredients. © 1996 John Wiley & Sons, Inc.     

Large deviations for stochastic PDE with Lévy noise

We prove a large deviation principle result for solutions of abstract stochastic evolution equations perturbed by small Lévy noise. We use general large deviations theorems of Varadhan and Bryc coupled with the techniques of Feng and Kurtz (2006) [15], viscosity solutions of integro-partial differential equations in Hilbert spaces, and deterministic optimal control methods. The Laplace limit is identified as a viscosity solution of a Hamilton-Jacobi-Bellman equation of an associated control problem. We also establish exponential moment estimates for solutions of stochastic evolution equations driven by Lévy noise. General results are applied to stochastic hyperbolic equations perturbed by subordinated Wiener process.     

Existence of Viscosity Solutions of Second Order Fully Nonlinear Elliptic Equations

We consider the problem of existence for viscosity solutions of seoond order fully nonlinear elliptic partial differential equations F(D²u, Du, u, z) = 0. We prove existence results for viscosity solutions in W^{1,∞} under assumptions that function F satisfies the natural structure conditions. We do not assume F is convex.     

On Aronsson Equation and Deterministic Optimal Control

When Hamiltonians are nonsmooth, we define viscosity solutions of the Aronsson equation and prove that value functions of the corresponding deterministic optimal control problems are solutions if they are bilateral viscosity solutions of the Hamilton-Jacobi-Bellman equation. We characterize such a property in several ways, in particular it follows that a value function which is an absolute minimizer is a bilateral viscosity solution of the HJB equation and these two properties are often equivalent. We also determine that bilateral solutions of HJB equations are unique among absolute minimizers with prescribed boundary conditions. This research was partially supported by MIUR-Prin project “Metodi di viscosità, metrici e di teoria del controllo in equazioni alle derivate parziali nonlineari”.     

On second grade fluids with vanishing viscosity

We consider in ℝⁿ (n = 2, 3) the equation of a second grade fluid with vanishing viscosity, also known as Camassa-Holm equation. We prove local existence and uniqueness of solutions for smooth initial data. We also give a blow-up condition which implies that the solution is global for n = 2. Finally, we prove the convergence of the solutions of second grade fluid equation to the solution of the Camassa-Holm equation as the viscosity tends to zero.     

Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model

We study the viscosity solutions of integro-differential Hamilton–Jacobi–Bellman equations of degenerate parabolic type. These equations are from the pricing problem for the European passport options in a jump-diffusion model. The passport option is a call option on a trading account. We discuss the mathematical model for pricing problem. We prove the comparison principle, uniqueness and convexity preserving for the viscosity solutions of related pricing equations.     

Moduli of Continuity for Viscosity Solutions on Manifolds

We establish the estimates of modulus of continuity for viscosity solutions of nonlinear evolution equations on manifolds, extending previous work of Andrews and Clutterbuck for regular solutions on manifolds (Andrews and Clutterbuck in Anal PDE 6(5):1013–1024, 2013) and the first author’s recent work for viscosity solutions in Euclidean spaces (Li in Proc Am Math Soc 144(4):1717–1724, 2016).     

Viscosity solutions for elliptic-parabolic problems

We study an elliptic-parabolic problem appearing in the theory of partially saturated flows in the framework of viscosity solutions. This is part of current investigation to understand the theory of viscosity solutions for PDE problems involving free boundaries. We prove that the problem is well posed in the viscosity setting and compare the results with the weak theory. Dirichlet or Neumann boundary conditions are considered.     

Convergence of Rothe's method for fully nonlinear parabolic equations

Convergence of Rothe's method for the fully nonlinear parabolic equation u_t+F(D²u, Du, u, x, t)=0 is considered under some continuity assumptions on F. We show that the Rothe solutions are Lipschitz in time, Hölder in space, and they solve the equation in the viscosity sense. As an immediate corollary we get Lipschitz behavior in time of the viscosity solutions of our equation.     

On uniqueness and existence of viscosity solutions of fully nonlinear second-order elliptic PDE's

We prove several comparison and existence theorems for viscosity solutions of fully nonlinear degenerate elliptic equations. One of them extends some recent uniqueness results by Jensen. Some establish the uniqueness of solutions for second-order Isaacs' equations and hence include the uniqueness results for Bellman equations by P.-L. Lions. Our comparison results apply even for discontinuous solutions and so Perron's method readily yields the existence of continuous solutions.     

A Free Boundary Problem with Curvature

Abstract

In this paper we are interested in a free boundary problem with a motion law involving the mean curvature term of the free boundary. Viscosity solutions are introduced as a notion of global-time solutions past singularities. We show the comparison principle for viscosity solutions, which yields the existence of minimal and maximal solutions for given initial data. We also prove uniqueness of the solution for several classes of initial data and discuss the possibility of nonunique solutions.     

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.     

Convexity of solutions and estimates for fully nonlinear elliptic equations

The starting point of this work is a paper by Alvarez, Lasry and Lions (1997) concerning the convexity and the partial convexity of solutions of fully nonlinear degenerate elliptic equations. We extend their results in two directions. First, we deal with possibly sublinear (but epi-pointed) solutions instead of 1-coercive ones; secondly, the partial convexity of C² solutions is extended to the class of continuous viscosity solutions. A third contribution of this paper concerns C^1,1 estimates for convex viscosity solutions of strictly elliptic nonlinear equations. To finish with, all the tools and techniques introduced here permit us to give a new proof of the Alexandroff estimate obtained by Trudinger (1988) and Caffarelli (1989).