Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
Abstract
The non-exponential Schilder-type theorem in Backhoff-Veraguas, Lacker and Tangpi [Ann. Appl. Probab., 30 (2020), pp. 1321-1367] is expressed as a convergence result for path-dependent partial differential equations with appropriate notions of generalized solutions. This entails a non-Markovian counterpart to the vanishing viscosity method. We show uniqueness of maximal subsolutions for path-dependent viscous Hamilton-Jacobi equations related to convex super-quadratic backward stochastic differential equations. We establish well-posedness for the Hamilton-Jacobi-Bellman equation associated to a Bolza problem of the calculus of variations with path-dependent terminal cost. In particular, uniqueness among lower semi-continuous solutions holds and state constraints are admitted.
Keywords
Cite
@article{arxiv.2102.00038,
title = {Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method},
author = {Erhan Bayraktar and Christian Keller},
journal= {arXiv preprint arXiv:2102.00038},
year = {2022}
}
Comments
22 pages, to appear in SIAM Journal on Control and Optimization