Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method

DOI10.1137/21M1395557zbMath1492.60183arXiv2102.00038OpenAlexW3127071273MaRDI QIDQ5081640

Erhan Bayraktar, Christian Keller

Publication date: 17 June 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.00038

zbMATH Keywords

optimal controlstate constraintsnonsmooth analysisbackward stochastic differential equationsvanishing viscosity methodcalculus of variationslarge deviationsminimax solutionspath-dependent partial differential equationsdini solutions

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Second-order parabolic equations (35K10) Hamilton-Jacobi equations (35F21)

Related Items (5)

A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs ⋮ Mean viability theorems and second-order Hamilton-Jacobi equations ⋮ Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems ⋮ Viability for locally monotone evolution inclusions and lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations in infinite dimensions ⋮ Optimal control of stochastic delay differential equations: optimal feedback controls

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