English

Large deviations of a velocity jump process with a Hamilton-Jacobi approach

Analysis of PDEs 2016-08-08 v1

Abstract

We study a random process on R n moving in straight lines and changing randomly its velocity at random exponential times. We focus more precisely on the Kolmogorov equation in the hyperbolic scale (t, x, v) \to t ϵ\epsilon, x ϵ\epsilon, v, with ϵ\epsilon \textgreater{} 0, before proceeding to a Hopf-Cole transform, which gives a kinetic equation on a potential. We show convergence as ϵ\epsilon \to 0 of the potential towards the viscosity solution of a Hamilton-Jacobi equation \partialt\"I + H (\nablax\"I) = 0 where the hamiltonian may lack C 1 regularity, which is quite unseen in this type of studies. R{\'e}sum{\'e}

Keywords

Cite

@article{arxiv.1602.07216,
  title  = {Large deviations of a velocity jump process with a Hamilton-Jacobi approach},
  author = {Nils Caillerie},
  journal= {arXiv preprint arXiv:1602.07216},
  year   = {2016}
}