相关论文: A continuous dependence estimate for viscous Hamil…

In this paper, we study a class of zero-sum two-player stochastic differential games with the controlled stochastic differential equations and the payoff/cost functionals of recursive type. As opposed to the pioneering work by Fleming and…

We present a simple algorithm to approximate the viscosity solution of Hamilton-Jacobi (HJ) equations by means of an artificial deep neural network. The algorithm uses a stochastic gradient descent-based method to minimize the least square…

We discuss a class of time-dependent Hamilton-Jacobi equations, where an unknown function of time is intended to keep the maximum of the solution to the constant value 0. Our main result is that the full problem has a unique viscosity…

We consider the numerical solution of Hamilton-Jacobi-Bellman equations arising in stochastic control theory. We introduce a class of monotone approximation schemes relying on monotone interpolation. These schemes converge under very weak…

We consider the simplest example of a time-dependent first order Hamilton-Jacobi equation, in one space dimension and with a bounded and Lipschitz continuous Hamiltonian which only depends on the spatial derivative. We show that if the…

We study a two-player zero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The Hamilton-Jacobi-Bellman-Isaacs (HJBI) partial differential equation of the game turns out to be a…

We consider time-dependent mean-field games with congestion that are given by a system of a Hamilton-Jacobi equation coupled with a Fokker-Planck equation. The congestion effects make the Hamilton-Jacobi equation singular. These models are…

Starting from Namah and Roquejoffre (Commun. Partial Differ. Equations, 1999) and Fathi (C. R. Acad. Sci., Paris, S\'er. I, Math., 1998), the large time asymptotic behavior of solutions to Hamilton-Jacobi equations has been extensively…

This work is devoted to the studies of a Hamilton--Jacobi equation with a quadratic and degenerate Hamiltonian, which comes from the dynamics of a multipeakon in the Camassa--Holm equation. It is given by a quadratic form with a singular…

We provide an approximation scheme for first-order stationary mean field games with a separable Hamiltonian. First, we discretize Hamilton-Jacobi equations by discretizing in time, and then prove the existence of minimizing holonomic…

In this note, we characterize the solution of a system of elliptic integro-differential equations describing a phe-notypically structured population subject to mutation, selection and migration. Generalizing an approach based on…

In this paper, we establish the convergence of solutions to the viscous Hamilton-Jacobi equation (with a Tonelli Hamiltonian): \[ \lambda u +H(x, du)=\varepsilon(\lambda)\Delta u,\quad \lambda>0 \] as $\lambda\rightarrow 0_+$, once the…

We consider an infinite horizon control problem for dynamics constrained to remain on a multidimensional junction with entry costs. We derive the associated system of Hamilton-Jacobi equations (HJ), prove the comparison principle and that…

We study the high-dimensional limit of the free energy associated with the inference problem of finite-rank matrix tensor products. In general, we bound the limit from above by the unique solution to a certain Hamilton-Jacobi equation.…

We study a selection problem for degenerate viscous Hamilton--Jacobi equations with convex Hamiltonians, in which the approximation procedure combines a nonlinear discounted approximation with a small potential perturbation. A key question…

The asymptotic stability of a global solution satisfying Hamilton-Jacobi equations with jumps will be analyzed in dependence on the strong dissipativity of the jump control function and using orbits of the differentiable flows to describe…

In this paper, we prove the existence of classical solutions for second order stationary mean-field game systems. These arise in ergodic (mean-field) optimal control, convex degenerate problems in calculus of variations, and in the study of…

This paper is concerned with cross-sectional dependence arising because observations are interconnected through an observed network. Following Doukhan and Louhichi (1999), we measure the strength of dependence by covariances of nonlinearly…

In this paper, we analyse Lipschitz continuous dependence of the solution to Hamilton-Jacobi-Bellman equations on a functional parameter. This sensitivity analysis not only has the interest on its own, but also is important for the mean…

This work focuses on the rate of convergence for singular perturbation problems for first-order Hamilton-Jacobi equations. As an application we derive the rate of convergence for singularly perturbed two-players zero-sum deterministic…