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.     

A stochastic Hamilton–Jacobi equation with infinite speed of propagation

We give an example of a stochastic Hamilton–Jacobi equation $\mathrm{d}u=H(\mathrm{D}u)\mathrm{d}\xi$ which has an infinite speed of propagation as soon as the driving signal ξ is not of bounded variation.     

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.     

Well-posedness of Hamilton–Jacobi equations in population dynamics and applications to large deviations

We prove Freidlin–Wentzell type large deviation principles for various rescaled models in populations dynamics that have immigration and possibly harvesting: birth–death processes, Galton–Watson trees, epidemic SI models, and prey–predator models.The proofs are carried out using a general analytic approach based on the well-posedness of a class of associated Hamilton–Jacobi equations. The notable feature for these Hamilton–Jacobi equations is that the Hamiltonian can be discontinuous at the boundary. We prove a well-posedness result for a large class of Hamilton–Jacobi equations corresponding to one-dimensional models, and give partial results for the multi-dimensional setting.     

Well-posedness for the system of the Hamilton–Jacobi and the continuity equations

Let H (t, x, p) be a Hamiltonian function that is convex in p. Let the associated Lagrangian satisfy the nonstandard minorization condition where m > 0, ω > 0, and C ≥ 0 are constants. Under some additional conditions, we prove that the associated value function is the unique viscosity solution of S _t + H(t, x, ∇S) = 0 in , without any conditions at infinity on the solution. Here ωT < π/2. To the Hamilton–Jacobi equation corresponding to the classical action integrand in mechanics, we adjoin the continuity equation and establish the existence and uniqueness of a viscosity–measure solution (S, ρ) of

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 dynamical approach to the large-time behavior of solutions to weakly coupled systems of Hamilton–Jacobi equations

We investigate the large-time behavior of the value functions of the optimal control problems on the n-dimensional torus which appear in the dynamic programming for the system whose states are governed by random changes. From the point of view of the study on partial differential equations, it is equivalent to consider viscosity solutions of quasi-monotone weakly coupled systems of Hamilton–Jacobi equations. The large-time behavior of viscosity solutions of this problem has been recently studied by the authors and Camilli, Ley, Loreti, and Nguyen for some special cases, independently, but the general cases remain widely open. We establish a convergence result to asymptotic solutions as time goes to infinity under rather general assumptions by using dynamical properties of value functions.     

On the System of Hamilton–Jacobi and Transport Equations Arising in Geometrical Optics

Abstract

In the present article, we study the system of eikonal and transport equations arising in geometrical optics. The mathematical analysis is performed by using the suitable notion of solution, i.e., the viscosity solution for the Hamilton–Jacobi equation and the measure solution for the transport equation defined via the generalized Filippov characteristics. We study the stability as well as the geometry of the solution to the system.     

Application of variational iteration method for Hamilton–Jacobi–Bellman equations

In this paper, we use the variational iteration method (VIM) for optimal control problems. First, optimal control problems are transferred to Hamilton–Jacobi–Bellman (HJB) equation as a nonlinear first order hyperbolic partial differential equation. Then, the basic VIM is applied to construct a nonlinear optimal feedback control law. By this method, the control and state variables can be approximated as a function of time. Also, the numerical value of the performance index is obtained readily. In view of the convergence of the method, some illustrative examples are presented to show the efficiency and reliability of the presented method.     

Long-time behavior of solutions to Hamilton–Jacobi equations with quadratic gradient term

We study a rate of convergence appearing in the long-time behavior of viscosity solutions of the Cauchy problem for the Hamilton–Jacobi equation

On the topology of the set of singularities of a solution to the Hamilton–Jacobi equation

We address the topology of the set of singularities of a solution to a Hamilton–Jacobi equation. For this, we will apply the idea of the first two authors (Cannarsa and Cheng, Generalized characteristics and Lax–Oleinik operators: global result, preprint, arXiv:1605.07581, 2016) to use the positive Lax–Oleinik semi-group to propagate singularities.     

An adaptive domain decomposition method for the Hamilton–Jacobi–Bellman equation

In this paper, we propose an efficient algorithm for a Hamilton–Jacobi–Bellman equation governing a class of optimal feedback control and stochastic control problems. This algorithm is based on a non-overlapping domain decomposition method and an adaptive least-squares collocation radial basis function discretization with a novel matrix inversion technique. To demonstrate the efficiency of this method, numerical experiments on test problems with up to three states and two control variables have been performed. The numerical results show that the proposed algorithm is highly parallelizable and its computational cost decreases exponentially as the number of sub-domains increases.     

Lax–Hopf formula and Max-Plus properties of solutions to Hamilton–Jacobi equations

We state and prove a “Lax–Hopf formula” characterizing viable capture basins of targets investigated in viability theory and derive a “Max-Plus” morphism of capture basins with respect to the target. Capture basins are used to define “viability solutions” to Hamilton–Jacobi equations satisfying “trajectory conditions” (initial, boundary or Lagrangian conditions). The Max-Plus morphism property of Lax–Hopf formula implies the fact that the solution associated with inf-convolution of trajectory conditions is the inf-convolution of the solutions for each trajectory condition. For instance, Lipschitz regularization or decreasing envelopes of trajectory condition imply the Lipschitz regulation or decreasing envelopes of the solutions.     

Singular boundary characteristics of the Hamilton–Jacobi equation

Situations exist in boundary value problems for first order partial differential equations arising in physics (the Hamilton–Jacobi equation), optimal control theory (the Bellman equation) and the theory of differential games (the Isaacs equation) when the value of the required function is not given on a part of the boundary or not at all, or it is not the limit of the (generalized) solution of the problem. Nevertheless, such conditions are required for constructing the solution (by the method of characteristics, for example). It is shown that the required boundary values can be exposed as a specific continuation of the conditions that are known in the boundary submanifolds of the given part of the boundary. This extension of the conditions is accomplished using the characteristic curves starting in a known submanifold of the boundary and running along the boundary. The characteristics are a generalization of the classical characteristics associated with a partial differential equation. They are called singular characteristics, and the theory of these has been developed in a number of the author's papers. After obtaining these “natural” boundary conditions, the solution is constructed using the conventional method of integrating the equations of the classical characteristics. Conditions of the Dirichlet and Neumann type are considered. The technique is illustrated using a numerical example from the theory of differential games containing a number of parameters.     

Asymptotic Solutions of Hamilton–Jacobi Equations with Semi-Periodic Hamiltonians

We study the long time behavior of viscosity solutions of the Cauchy problem for Hamilton–Jacobi equations in ? ⁿ . We prove that if the Hamiltonian H(x, p) is coercive and strictly convex in a mild sense in p and upper semi-periodic in x, then any solution of the Cauchy problem “converges” to an asymptotic solution for any lower semi-almost periodic initial function.