Differentiability of the effective Lagrangian for Hamilton-Jacobi-Bellman equations in dynamic random environments
Probability
2023-06-26 v2 Analysis of PDEs
Abstract
We prove differentiability of the effective Lagrangian for continuous time multidimensional directed variational problems in random dynamic environments with positive dependence range in time. This implies that limiting fundamental solutions in the associated homogenization problems for HJB equations are classical.
Keywords
Cite
@article{arxiv.2305.17276,
title = {Differentiability of the effective Lagrangian for Hamilton-Jacobi-Bellman equations in dynamic random environments},
author = {Yuri Bakhtin and Douglas Dow},
journal= {arXiv preprint arXiv:2305.17276},
year = {2023}
}
Comments
Minor additions and changes in this version, 28 pages