The research on a class of asymptotic exit-time problems with a vanishing Lagrangian, begun in [M. Motta and C. Sartori, Nonlinear Differ. Equ. Appl. Springer (2014).] for the compact control case, is extended here to the case of unbounded controls and data, including both coercive and non-coercive problems. We give sufficient conditions to have a well-posed notion of generalized control problem and obtain regularity, characterization and approximation results for the value function of the problem....

We study the asymptotic behavior of $\lambda v_{\lambda }$ as $\lambda \to 0^{+}$, where $v_{\lambda }$ is the viscosity solution of the following Hamilton-Jacobi-Isaacs equation (infinite horizon case)$$\lambda v_{\lambda }+H(x,D{v}_{\lambda })=0,$$with$$H(x,p):=\underset{b\in B}{min}\underset{a\in A}{max}\{-f(x,a,b)·p-l(x,a,b)\}.$$We discuss the cases in which the state of the system is required to stay in an $n$-dimensional torus, called periodic boundary conditions, or in the closure of a bounded connected domain $\Omega \subset {ℝ}^n$ with sufficiently smooth boundary. As far as the latter is concerned, we treat both the case of the Neumann boundary conditions (reflection on the boundary)...

We study the asymptotic behavior of $\lambda v_{\lambda }$ as $\lambda \to 0^{+}$, where $v_{\lambda }$ is the viscosity solution of the following Hamilton-Jacobi-Isaacs equation (infinite horizon case) $$\lambda v_{\lambda }+H(x,D{v}_{\lambda })=0,$$ with $$H(x,p):=\underset{b\in B}{min}\underset{a\in A}{max}\{-f(x,a,b)·p-l(x,a,b)\}.$$ We discuss the cases in which the state of the system is required to stay in an n-dimensional torus, called periodic boundary conditions, or in the closure of a bounded connected domain $\Omega \subset {}^n$ with sufficiently smooth boundary. As far as the latter is concerned, we treat both the case of the Neumann boundary conditions (reflection on the...

Using systematically a tricky idea of N.V. Krylov, we obtain general results on the rate of convergence of a certain class of monotone approximation schemes for stationary Hamilton-Jacobi-Bellman equations with variable coefficients. This result applies in particular to control schemes based on the dynamic programming principle and to finite difference schemes despite, here, we are not able to treat the most general case. General results have been obtained earlier by Krylov for finite difference...

Using systematically a tricky idea of N.V. Krylov, we obtain general results on the rate of convergence of a certain class of monotone approximation schemes for stationary Hamilton-Jacobi-Bellman equations with variable coefficients. This result applies in particular to control schemes based on the dynamic programming principle and to finite difference schemes despite, here, we are not able to treat the most general case. General results have been obtained earlier by Krylov for finite...

In this paper we study the lower semicontinuity problem for a supremal functional of the form $F(u,\Omega )=\underset{x\in \Omega }{\mathrm{ess}\sup }f(x,u\left(x\right),Du\left(x\right))$ with respect to the strong convergence in $L^{\infty }\left(\Omega \right)$, furnishing a comparison with the analogous theory developed by Serrin for integrals. A sort of Mazur’s lemma for gradients of uniformly converging sequences is proved.

In this paper we study the lower semicontinuity problem for a supremal functional of the form $F(u,\Omega )=\underset{x\in \Omega }{\mathrm{ess}\sup }f(x,u\left(x\right),Du\left(x\right))$ with respect to the strong convergence in L∞(Ω), furnishing a comparison with the analogous theory developed by Serrin for integrals. A sort of Mazur's lemma for gradients of uniformly converging sequences is proved.

Some methods for the numerical approximation of time-dependent and steady first-order Hamilton-Jacobi equations are reviewed. Most of the discussion focuses on conformal triangular-type meshes, but we show how to extend this to the most general meshes. We review some first-order monotone schemes and also high-order ones specially dedicated to steady problems.

We study the zero-temperature limit for Gibbs measures associated to Frenkel–Kontorova models on ${\left({ℝ}^d\right)}^{\mathbb{Z}}/{\mathbb{Z}}^d$. We prove that equilibrium states concentrate on configurations of minimal energy, and, in addition, must satisfy a variational principle involving metric entropy and Lyapunov exponents, a bit like in the Ruelle–Pesin inequality. Then we transpose the result to certain continuous-time stationary stochastic processes associated to the viscous Hamilton–Jacobi equation. As the viscosity vanishes, the...

This paper proposes a Lie group analytical approach to tackle the problem of pricing derivative securities. By exploiting the infinitesimal symmetries of the Boundary Value Problem (BVP) satisfied by the price of a derivative security, our method provides an effective algorithm for obtaining its explicit solution.

In this paper we give examples of value functions in Bolza problem that are not bilateral or viscosity solutions and an example of a smooth value function that is even not a classic solution (in particular, it can be neither the viscosity nor the bilateral solution) of Hamilton-Jacobi-Bellman equation with upper semicontinuous Hamiltonian. Good properties of value functions motivate us to introduce approximate solutions of equations with such type Hamiltonians. We show that the value function is...