Related papers: On Neumann problems for nonlocal Hamilton-Jacobi e…
We prove existence, uniqueness and several qualitative properties for evolution equations that combine local and nonlocal diffusion operators acting in different subdomains and coupled in such a way that the resulting evolution equation is…
We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…
In this paper, we study the regularity of weak solutions and subsolutions of second-order elliptic equations having a gradient term with superquadratic growth. We show that, under appropriate integrability conditions on the data, all weak…
We investigate a simple velocity jump process in the regime of large deviation asymptotics. New velocities are taken randomly at a constant, large, rate from a Gaussian distribution with vanishing variance. The Kolmogorov forward equation…
The paper deals with second order parabolic equations on bounded domains with Dirichlet conditions in arbitrary Euclidean spaces. Their interest comes from being models for describing reaction-diffusion processes in several frameworks. A…
We consider an initial value problem for a Hamilton--Jacobi equation with a quadratic and degenerate Hamiltonian. Our Hamiltonian comes from the dynamics of $N$-peakon in the Camassa--Holm equation. It is given by a quadratic form with a…
We prove the homogenization of a class of one-dimensional viscous Hamilton-Jacobi equations with random Hamiltonians that are nonconvex in the gradient variable. Due to the special form of the Hamiltonians, the solutions of these PDEs with…
We prove well posedness and stability in $\mathbf{L}^1$ for a class of mixed hyperbolic-parabolic non linear and non local equations in a bounded domain with no flow along the boundary. While the treatment of boundary conditions for the…
Here, we study quantitative homogenization of first-order convex Hamilton-Jacobi equations with $(u/\varepsilon)$-periodic Hamiltonians which typically appear in dislocation dynamics. Firstly, we establish the optimal convergence rate by…
We prove existence, uniqueness, and regularity of viscosity solutions to the stationary and evolution obstacle problems defined by a class of nonlocal operators that are not stable-like and may have supercritical drift. We give sufficient…
The paper concerns the infinite dimensional Hamilton-Jacobi-Bellman equation related to optimal control problem regulated by a transport equation with boundary control. A suitable viscosity solution approach is needed in view of the…
The ergodic control problem for a non-degenerate controlled diffusion controlled through its drift is considered under a uniform stability condition that ensures the well-posedness of the associated Hamilton-Jacobi-Bellman (HJB) equation. A…
We study the asymptotic behavior of solutions to the Dirichlet problem for Hamilton-Jacobi equations with large drift terms, where the drift terms are given by the Hamiltonian vector fields of Hamiltonian $H$. This is an attempt to…
In this article, we consider non-smooth time-dependent domains and single-valued, smoothly varying directions of reflection at the boundary. In this setting, we first prove existence and uniqueness of strong solutions to stochastic…
The aim of this article is twofold. First, we develop a unified framework for viscosity solutions to both first-order Hamilton-Jacobi equations and semilinear Hamilton-Jacobi equations driven by the idiosyncratic operator, defined on the…
We consider a large family of integro-differential equations and establish a non-local counterpart of Hopf's lemma, directly expressed in terms of the symbol of the operator. As closely related problems, we also obtain a variety of maximum…
We study an ergodic problem associated to a non-local Hamilton-Jacobi equation defined on the whole space $\lambda-\mathcal{L}[u](x)+|Du(x)|^m=f(x)$ and determine whether (unbounded) solutions exist or not. We prove that there is a…
Two different types of generalized solutions, namely viscosity and variational solutions, were introduced to solve the first-order evolutionary Hamilton--Jacobi equation. They coincide if the Hamiltonian is convex in the momentum variable.…
Motivated by parallels between mean field games and random matrix theory, we develop stochastic optimal control problems and viscosity solutions to Hamilton-Jacobi equations in the setting of non-commutative variables. Rather than real…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a time and path-dependent…