Related papers: A stochastic Hamilton-Jacobi equation with infinit…
We show that the initial value problem for Hamilton-Jacobi equations with multiplicative rough time dependence, typically stochastic, and convex Hamiltonians satisfies finite speed of propagation. We prove that in general the range of…
We study the homogenization limit of solutions to the G-equation with random drift. This Hamilton-Jacobi equation is a model for flame propagation in a turbulent fluid in the regime of thin flames. For a fluid velocity field that is…
We study the well-posedness of an infinite-dimensional Hamilton-Jacobi equation posed on the set of non-negative measures and with a monotonic non-linearity. Our results will be used in a companion work to propose a conjecture and prove…
We prove finite speed of propagation for stochastic porous media equations perturbed by linear multiplicative space-time rough signals. Explicit and optimal estimates for the speed of propagation are given. The result applies to any…
We show that non-dominated sorting of a sequence of i.i.d. random variables in Euclidean space has a continuum limit that corresponds to solving a Hamilton-Jacobi equation involving the probability density function of the random variables.…
We consider a stochastic optimal control problem where the controller can anticipate the evolution of the driving noise over some dynamically changing time window. The controlled state dynamics are understood as a rough differential…
In this paper we use the theory of viscosity solutions for Hamilton-Jacobi equations to study propagation phenomena in kinetic equations. We perform the hydrodynamic limit of some kinetic models thanks to an adapted WKB ansatz. Our models…
In the present paper, we provide a detailed derivation of the stochastic Hamilton-Jacobi-Bellman equation
We prove finite speed of propagation for the multiplicative stochastic wave equation in two and three dimensions which leads us to a global space-time well-posedness result for the cubic nonlinear equation in the analogue of the energy…
We provide an example of a Hamilton-Jacobi equation in which stochastic homogenization does not occur. The Hamiltonian involved in this example satisfies the standard assumptions of the literature, except that it is not convex.
The long-time behavior of stochastic Hamilton-Jacobi equations is analyzed, including the stochastic mean curvature flow as a special case. In a variety of settings, new and sharpened results are obtained. Among them are (i) a…
We provide a stochastic representation for a general class of viscous Hamilton-Jacobi (HJ) equations, which has convexity and superlinear nonlinearity in its gradient term, via a type of backward stochastic differential equation (BSDE) with…
We consider a finite-time stochastic drift control problem with the assumption that the control is bounded and the system is controlled until the state process leaves the half-line. Assuming general conditions, it is proved that the…
We study the partial differential equation max{Lu - f, H(Du)}=0 where u is the unknown function, L is a second-order elliptic operator, f is a given smooth function and H is a convex function. This is a model equation for…
Employing a suitable nonlinear Lagrange functional, we derive generalized Hamilton-Jacobi equations for dynamical systems subject to linear velocity constraints. As long as a solution of the generalized Hamilton-Jacobi equation exists, the…
We study the Hamilton-Jacobi equations $H(x,Du,u)=0$ in $M$ and $\partial u/\partial t +H(x,D_xu,u)=0$ in $M\times(0,\infty)$, where the Hamiltonian $H=H(x,p,u)$ depends Lipschitz continuously on the variable $u$. In the framework of the…
We prove rate of convergence results for singular perturbations of Hamilton-Jacobi equations in unbounded spaces where the fast operator is linear, uniformly elliptic and has an Ornstein-Uhlenbeck-type drift. The slow operator is a fully…
We present a proof of qualitative stochastic homogenization for a nonconvex Hamilton-Jacobi equation. The new idea is to introduce a family of "sub-equations" and to control solutions of the original equation by the maximal subsolutions of…
We study the qualitative homogenization of second order viscous Hamilton-Jacobi equations in space-time stationary ergodic random environments. Assuming that the Hamiltonian is convex and superquadratic in the momentum variable (gradient)…
We introduce a stochastic version of the optimal transport problem. We provide an analysis by means of the study of the associated Hamilton-Jacobi-Bellman equation, which is set on the set of probability measures. We introduce a new…