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) t , x , v, with \textgreater{} 0, before proceeding to a Hopf-Cole transform, which gives a kinetic equation on a potential. We show convergence as 0 of the potential towards the viscosity solution of a Hamilton-Jacobi equation t\"I + H (x\"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}
}