Propagation of singularities for solutions of Hamilton–Jacobi equations

We consider the viscosity solution of the Cauchy problem for a class of Hamilton–Jacobi equations and we show that the points of the C¹$C^1$ singular support of such a function propagate along the generalized characteristics for all the times.     

Discontinuous solutions of Hamilton–Jacobi–Bellman equation under state constraints

This article is devoted to the Hamilton–Jacobi partial differential equation $$\left\{\begin{array}{lll}\frac{\partial V}{\partial t} = H\left(t, x, - \frac{\partial V}{\partial x}\right) & \hbox{on} & [0, 1]\times {\overline{\Omega}}\\V(1, x) = g(x) & \hbox{on}& {\overline{\Omega}},\end{array}\right.$$ where the Hamiltonian ${{H:[0, 1] \times \mathbb{R}^n \times \mathbb{R}^n \to \mathbb{R}}}$ is convex and positively homogeneous with respect to the last variable, ${{\Omega \subset \mathbb{R}^n}}$ is open and ${{g : \mathbb{R}^n \to \mathbb{R} \cup \{+ \infty\}}}$ is lower semicontinuous. Such Hamiltonians do arise in the optimal control theory. We apply the method of generalized characteristics to show uniqueness of lower semicontinuous solution of this first order PDE. The novelty of our setting lies in the fact that we do not ask regularity of the boundary of Ω and extend the Soner inward pointing condition in a nontraditional way to get uniqueness in the class of lower semicontinuous functions.     

Local and global properties of solutions of quasilinear Hamilton–Jacobi equations

We study some properties of the solutions of (E) −_Δpu+|∇u|^q=0$-{\mathrm{\Delta }}_{p}u+{|\mathrm{\nabla }u|}^q=0$ in a domain Ω⊂R^N$\Omega \subset {\mathbb{R}}^N$, mostly when p≥q>p−1$p\ge q>p-1$. We give a universal a priori estimate of the gradient of the solutions with respect to the distance to the boundary. We give a full classification of the isolated singularities of the nonnegative solutions of (E), a partial classification of isolated singularities of the negative solutions. We prove a general removability result expressed in terms of some Bessel capacity of the removable set. We extend our estimates to equations on complete noncompact manifolds satisfying a lower bound estimate on the Ricci curvature, and derive some Liouville type theorems.     

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.     

From pointwise to local regularity for solutions of Hamilton–Jacobi equations

It is well-known that solutions to the Hamilton–Jacobi equation $$\begin{aligned} u_{t}(t,x)+H(x,u_{x}(t,x))=0 \end{aligned}$$ fail to be everywhere differentiable. Nevertheless, suppose a solution $u$ turns out to be differentiable at a given point $(t,x)$ in the interior of its domain. May then one deduce that $u$ must be continuously differentiable in a neighborhood of $(t,x)$ ? Although this question has a negative answer in general, our main result shows that it is indeed the case when the proximal subdifferential of $u(t,\cdot )$ at $x$ is nonempty. Our approach uses the representation of $u$ as the value function of a Bolza problem in the calculus of variations, as well as necessary conditions for such a problem.     

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

Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton–Jacobi–Bellman type

We study the regularity properties of integro-partial differential equations of Hamilton–Jacobi–Bellman type with the terminal condition, which can be interpreted through a stochastic control system, composed of a forward and a backward stochastic differential equation, both driven by a Brownian motion and a compensated Poisson random measure. More precisely, we prove that, under appropriate assumptions, the viscosity solution of such equations is jointly Lipschitz and jointly semiconcave in (t,x)∈Δ×R^d$(t,x)\in \Delta \times {\mathbb{R}}^d$, for all compact time intervals Δ$\Delta$ excluding the terminal time. Our approach is based on the time change for the Brownian motion and on Kulik’s transformation for the Poisson random measure.     

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.      

Hamilton–Jacobi–Bellman equations on time scales

In this paper, we consider a class of optimal control problems on time scales without state constraints, target conditions or the fixed terminal time. We first present and show a time scale version of the Bellman optimality principle. On this basis, using a chain rule of multivariables on time scales, we will derive Hamilton–Jacobi–Bellman equations on a time scale for these kind of optimal control problems. Finally, the quantum time scale is considered as an example to illustrate our results.     

Layered viscosity solutions of nonautonomous Hamilton–Jacobi equations: Semiconvexity and relations to characteristics

We construct an explicit representation of viscosity solutions of the Cauchy problem for the Hamilton–Jacobi equation (H,σ)$(H,\sigma )$ on a given domain Ω=(0,T)×Rⁿ$\Omega =(0,T)\times {\mathbb{R}}^n$. It is known that, if the Hamiltonian H=H(t,p)$H=H(t,p)$ is not a convex (or concave) function in p  , or H(⋅,p)$H(\cdot ,p)$ may change its sign on (0,T)$(0,T)$, then the Hopf-type formula does not define a viscosity solution on Ω  . Under some assumptions for H(t,p)$H(t,p)$ on the subdomains (_ti,_ti+1)×Rⁿ⊂Ω$(t_i,t_{i+1})\times {\mathbb{R}}^n\subset \Omega$, we are able to arrange “partial solutions” given by the Hopf-type formula to get a viscosity solution on Ω. Then we study the semiconvexity of the solution as well as its relations to characteristics.     

On unbounded solutions of ergodic problems in ℝm for viscous Hamilton–Jacobi equations

In this article, we study ergodic problems in the whole space ?^m for viscous Hamilton–Jacobi equations in the case of locally Lipschitz continuous and coercive right-hand sides. We prove in particular the existence of a critical value λ* for which (i) the ergodic problem has solutions for all λ≤λ*, (ii) bounded from below solutions exist and are associated to λ*, (iii) such solutions are unique (up to an additive constant). We obtain these properties without additional assumptions in the superquadratic case, while, in the subquadratic one, we assume the right-hand side to behave like a power. These results are slight generalizations of analogous results by Ichihara but they are proved in the present paper by partial differential equation (pde) methods, contrarily to Ichihara who is using a combination of pde technics with probabilistic arguments.     

Null controllability of viscous Hamilton–Jacobi equations

We study the problem of null controllability for viscous Hamilton–Jacobi equations in bounded domains of the Euclidean space in any space dimension and with controls localized in an arbitrary open nonempty subset of the domain where the equation holds. We prove the null controllability of the system in the sense that, every bounded (and in some cases uniformly continuous) initial datum can be driven to the null state in a sufficiently large time. The proof combines decay properties of the solutions of the uncontrolled system and local null controllability results for small data obtained by means of Carleman inequalities. We also show that there exists a waiting time so that the time of control needs to be large enough, as a function of the norm of the initial data, for the controllability property to hold. We give sharp asymptotic lower and upper bounds on this waiting time both as the size of the data tends to zero and infinity. These results also establish a limit on the growth of nonlinearities that can be controlled uniformly on a time independent of the initial data.     

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.     

Solving a Hamilton–Jacobi–Bellman equation with constraints

Optimal investment strategies for an insurer with state-dependent constraints are computed via a recursive finite difference solution to the corresponding discretized Hamilton–Jacobi–Belman equation. Convergence is derived from viscosity solution arguments. For this, a comparison result is given which is similar to the result given by Azcue and Muler [Ann. Appl. Probab. 20 (2010), pp. 1253–1302].     

Semiconcavity estimates for viscous Hamilton–Jacobi equations

We present sharp Hessian estimates of the form D² S^e(t,x) ￡ g(t)I{D^2 S^\varepsilon(t,x)\leq g(t)I} for the solution of the viscous Hamilton–Jacobi equation