Discrete approximation of the viscous HJ equation
Analysis of PDEs
2020-02-18 v1
Abstract
We consider a stochastic discretization of the stationary viscous Hamilton Jacobi equation on the flat d dimensional torus, associated with a Hamiltonian, convex and superlinear in the momentum variable. We show that each discrete problem admits a unique continuous solution on the torus, up to additive constants. By additionally assuming a technical condition on the associated Lagrangian, we show that each solution of the viscous Hamilton Jacobi equation is the limit of solutions of the discrete problems, as the discretization step goes to zero.
Cite
@article{arxiv.2002.06674,
title = {Discrete approximation of the viscous HJ equation},
author = {Andrea Davini and Hitoshi Ishii and Renato Iturriaga and Hector Sanchez Morgado},
journal= {arXiv preprint arXiv:2002.06674},
year = {2020}
}