Exponential convergence for a convexifying equation

DOI10.1051/COCV/2011163MaRDI QIDQ3143582zbMATH OpenOpenAlexFDO

Authors Guillaume Carlier, Alfred Galichon

Publication date 3 December 2012

Published in ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.1928

zbMATH Keywords

convex envelopenonautonomous gradient flowsstochastic control representation

Mathematics Subject Classification ID

Asymptotic behavior of solutions to PDEs (35B40) Viscosity solutions to PDEs (35D40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

Abstract: We consider an evolution equation similar to that introduced by Vese and whose solution converges in large time to the convex envelope of the initial datum. We give a stochastic control representation for the solution from which we deduce, under quite general assumptions that the convergence in the Lipschitz norm is in fact exponential in time. We then introduce a non-autonomous gradient flow and prove that its trajectories all converge to minimizers of the convex envelope.

Recommendations

• On a gradient flow with exponential rate of convergence
• A method to convexify functions via curve evolution
• scientific article; zbMATH DE number 2134046
• The convex envelope is the solution of a nonlinear obstacle problem
• Asymptotic behavior of solutions to certain nonlinear parabolic evolution equations. II

Cited in

(8)

• Computing the level set convex hull
• A convergence result related to the geometric flow of motion by principal negative curvature
• Vector quantile regression beyond the specified case
• A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides
• A model-free no-arbitrage price bound for variance options
• From the Kähler-Ricci flow to moving free boundaries and shocks
• scientific article; zbMATH DE number 6155052 (Why is no real title available?)
• An iterated projection approach to variational problems under generalized convexity constraints

This page was built for publication: Exponential convergence for a convexifying equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3143582)