Large deviation for diffusions and Hamilton-Jacobi equation in Hilbert spaces

DOI10.1214/009117905000000567MaRDI QIDQ2493182zbMATH OpenOpenAlexFDO

Authors Jin Feng

Publication date 12 June 2006

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0602655

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Large deviations (60F10) Continuous-time Markov processes on general state spaces (60J25)

Abstract: Large deviation for Markov processes can be studied by Hamilton--Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to generators of the Markov processes, and verify that limit of the transformed generators exists. Such limit induces a Hamilton--Jacobi equation. Second, we show that a strong form of uniqueness (the comparison principle) holds for the limit equation. Finally, we verify an exponential compact containment estimate. The large deviation principle then follows from the above three verifications. This paper illustrates such a method applied to a class of Hilbert-space-valued small diffusion processes. The examples include stochastically perturbed Allen--Cahn, Cahn--Hilliard PDEs and a one-dimensional quasilinear PDE with a viscosity term. We prove the comparison principle using a variant of the Tataru method. We also discuss different notions of viscosity solution in infinite dimensions in such context.

Review text

The author proves large deviations for Markov processes by means of the associated Hamilton-Jacobi equation techniques, and illustrates the method to a class of Hilbert-space-valued small diffusion processes.

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Cited in

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