Large deviations of a velocity jump process with a Hamilton-Jacobi approach (Q514387): Difference between revisions

A particle moves in \(\mathbb{R}^n\) in straight lines and changes its velocity randomly at random exponential times. The associated Chapman-Kolmogorov forward equation is transformed in the hyperbolic scale \((t,x) \rightarrow (t/{\varepsilon},x/{\varepsilon})\), with \(\varepsilon >0\). A Hopf-Cole transform is then performed. The resulting potential \(\phi^{\varepsilon}\) converges as \(\varepsilon\) goes to zero towards the viscosity solution of the Hamilton-Jacobi equation \(\partial_t\phi+H(\nabla_x\phi)=0\). A simple example shows that the Hamiltonian \(H\) may typically lack \(C^1\)-regularity.