Canonical greedy algorithms and dynamic programming
Classical solutions of linear regulator for degenerate diffusions.
Comparison and existence results for evolutive non-coercive first-order Hamilton-Jacobi equations
In this paper we prove a comparison result between semicontinuous viscosity subsolutions and supersolutions to Hamilton-Jacobi equations of the form in where the Hamiltonian H may be noncoercive in the gradient Du. As a consequence of the comparison result and the Perron's method we get the existence of a continuous solution of this equation.
Comparison results between minimal barriers and viscosity solutions for geometric evolutions
Complex calculus of variations
In this article, we present a detailed study of the complex calculus of variations introduced in [M. Gondran: Calcul des variations complexe et solutions explicites d’équations d’Hamilton–Jacobi complexes. C.R. Acad. Sci., Paris 2001, t. 332, série I]. This calculus is analogous to the conventional calculus of variations, but is applied here to functions in . It is based on new concepts involving the minimum and convexity of a complex function. Such an approach allows us to propose explicit solutions...
Complex system evaluating function
Computing the value function for an optimal control problem.
Concentration in the Nonlocal Fisher Equation: the Hamilton-Jacobi Limit
The nonlocal Fisher equation has been proposed as a simple model exhibiting Turing instability and the interpretation refers to adaptive evolution. By analogy with other formalisms used in adaptive dynamics, it is expected that concentration phenomena (like convergence to a sum of Dirac masses) will happen in the limit of small mutations. In the present work we study this asymptotics by using a change of variables that leads to a constrained Hamilton-Jacobi equation. We prove the convergence analytically...
Conservation Criteria, Canonical Transformations, and Integral Invariants in the Field Theory of Carathéodory for Multiple Integral Variational Problems. (Short Communication).
Conservation criteria, canonical transformations, and integral invariants in the field theory of Carathéodory for multiple integral variational problems.
Continuous dependence estimates for the ergodic problem of Bellman-Isaacs operators via the parabolic Cauchy problem
This paper concerns continuous dependence estimates for Hamilton-Jacobi-Bellman-Isaacs operators. We establish such an estimate for the parabolic Cauchy problem in the whole space [0, +∞) × ℝn and, under some periodicity and either ellipticity or controllability assumptions, we deduce a similar estimate for the ergodic constant associated to the operator. An interesting byproduct of the latter result will be the local uniform convergence for some classes of singular perturbation problems.
Continuous dependence estimates for viscosity solutions of fully nonlinear degenerate elliptic equations.
Contrôle de processus de Markov
Controlled diffusion processes.
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.
Convergence of a non-local eikonal equation to anisotropic mean curvature motion. Application to dislocations dynamics
We prove the convergence at a large scale of a non-local first order equation to an anisotropic mean curvature motion. The equation is an eikonal-type equation with a velocity depending in a non-local way on the solution itself, which arises in the theory of dislocation dynamics. We show that if an anisotropic mean curvature motion is approximated by equations of this type then it is always of variational type, whereas the converse is true only in dimension two.
Convergence of optimal strategies in a discrete time market with finite horizon
A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.
Convergence rates of symplectic Pontryagin approximations in optimal control theory
Many inverse problems for differential equations can be formulated as optimal control problems. It is well known that inverse problems often need to be regularized to obtain good approximations. This work presents a systematic method to regularize and to establish error estimates for approximations to some control problems in high dimension, based on symplectic approximation of the Hamiltonian system for the control problem. In particular the work derives error estimates and constructs regularizations...
Convex functions on Carnot groups.