相关论文: Viscosity solutions of Hamilton-Jacobi-Bellman-Isa…
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…
We establish some perturbed minimization principles, and we develop a theory of subdifferential calculus, for functions defined on Riemannian manifolds. Then we apply these results to show existence and uniqueness of viscosity solutions to…
We prove comparison principle for viscosity solutions of a Hamilton-Jacobi-Bellman equation in a strong coupling regime considering a stationary and a time-dependent version of the equation. We consider a Hamiltonian that has a…
In this paper, we investigate the existence and characterization of the value for a two-player zero-sum differential game with symmetric incomplete information on a continuum of initial positions and with signal revelation. Before the game…
In this manuscript we consider optimal control problems of stochastic differential equations with delays in the state and in the control. First, we prove an equivalent Markovian reformulation on Hilbert spaces of the state equation. Then,…
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…
The goal of this paper is to prove a comparison principle for viscosity solutions of semilinear Hamilton-Jacobi equations in the space of probability measures. The method involves leveraging differentiability properties of the…
In the present work, we consider 2-person zero-sum stochastic differential games with a nonlinear pay-off functional which is defined through a backward stochastic differential equation. Our main objective is to study for such a game the…
In this paper, we formulate a two-player zero-sum game under dynamic constraints defined by hybrid dynamical equations. The game consists of a min-max problem involving a cost functional that depends on the actions and resulting solutions…
This paper studies Hamilton-Jacobi equations of evolution type defined in a general metric space. We give a notion of a solution through optimal principles and establish a unique existence theorem of the solution for initial value problems.…
In this article, a notion of viscosity solutions is introduced for fully nonlinear second order path-dependent partial differential equations in the spirit of [Zhou, Ann. Appl. Probab., 33 (2023), 5564-5612]. We prove the existence,…
This is a survey paper on the quantitative analysis of the propagation of singularities for the viscosity solutions to Hamilton-Jacobi equations in the past decades. We also review further applications of the theory to various fields such…
In this paper, we consider a class of infinitely degenerate partial differential systems to obtain the Nash equilibria in the mean field games. The degeneracy in the diffusion and the Hamiltonian may be different. This feature brings…
We study viscosity solutions to a system of nonlinear degenerate parabolic partial integro-differential equations with interconnected obstacles. This type of problem occurs in the context of optimal switching problems when the dynamics of…
In the present paper we investigate the problem of the existence of a value for differential games without Isaacs condition. For this we introduce a suitable concept of mixed strategies along a partition of the time interval, which are…
We establish a comparison principle for viscosity solutions of a class of nonlinear partial differential equations posed on the space of nonnegative finite measures, thereby extending recent results for PDEs defined on the Wasserstein space…
We present a framework for efficient extraction of the viscosity solutions of nonlinear Hamilton-Jacobi equations with convex Hamiltonians. These viscosity solutions play a central role in areas such as front propagation, mean-field games,…
We consider a class of economic growth models that includes the classical Ramsey--Cass--Koopmans capital accumulation model and verify that, under several assumptions, the value function of the model is the unique viscosity solution to the…
It is well known that when the nonlinearity is convex, the Hamilton-Jacobi PDE admits a unique semi-convex weak solution, which is the viscosity solution. In this paper, motivated by problems arising from spin glasses, we show that if the…
We study the long-time behavior of the unique viscosity solution $u$ of the viscous Hamilton-Jacobi Equation $u_t-\Delta u + |Du|^m = f\hbox{in }\Omega\times (0,+\infty)$ with inhomogeneous Dirichlet boundary conditions, where $\Omega$ is a…