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 . 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 construct a minimizing sequence for the problem (1). In particular, we show that for any subsolution of the Hamilton-Jacobi equation there exists a minimizing sequence weakly convergent to this subsolution. The variational problem (1) arises from the theory of computer vision equations.
We are concerned with the optimal control of a nonlinear stochastic heat equation on a bounded real interval with Neumann boundary conditions. The specificity here is that both the control and the noise act on the boundary. We start by reformulating the state equation as an infinite dimensional stochastic evolution equation. The first main result of the paper is the proof of existence and uniqueness of a mild solution for the corresponding Hamilton-Jacobi-Bellman (HJB) equation. The C1 regularity...
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...
We prove that Perron's method and the method of half-relaxed limits of Barles-Perthame works for the so called B-continuous viscosity solutions of a large class of fully nonlinear unbounded partial differential equations in Hilbert spaces. Perron's method extends the existence of B-continuous viscosity solutions to many new equations that are not of Bellman type. The method of half-relaxed limits allows limiting operations with viscosity solutions without any a priori estimates. Possible applications...