Nonconvex homogenization for one-dimensional controlled random walks in random potential

DOI10.1214/18-AAP1395MaRDI QIDQ670733zbMATH OpenWikidataFDO

Authors Atilla Yilmaz, Ofer Zeitouni

Publication date 20 March 2019

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

Full work available at URL https://arxiv.org/abs/1705.07613, https://projecteuclid.org/euclid.aoap/1544000425

zbMATH Keywords

correctorHamilton-Jacobihomogenizationlarge deviationsrandom walk in random potentialstochastic optimal controltilted free energy

Mathematics Subject Classification ID

Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Nonlinear first-order PDEs (35F20) Processes in random environments (60K37) Optimal stochastic control (93E20)

Abstract: We consider a finite horizon stochastic optimal control problem for nearest-neighbor random walk $X_i$ on the set of integers. The cost function is the expectation of exponential of the path sum of a random stationary and ergodic bounded potential plus $heta{X}_n$. The random walk policies are measurable with respect to the random potential, and are adapted, with their drifts uniformly bounded in magnitude by a parameter $deltain[0,1]$. Under natural conditions on the potential, we prove that the normalized logarithm of the optimal cost function converges. The proof is constructive in the sense that we identify asymptotically optimal policies given the value of the parameter $delta$, as well as the law of the potential. It relies on correctors from large deviation theory as opposed to arguments based on subadditivity which do not seem to work except when $delta=0$. The Bellman equation associated to this control problem is a second-order Hamilton-Jacobi (HJ) stochastic partial difference equation with a separable random Hamiltonian which is nonconvex in $heta$ unless $delta=0$. We prove that this equation homogenizes under linear initial data to a first-order HJ deterministic partial differential equation. When $delta=0$, the effective Hamiltonian is the tilted free energy of random walk in random potential and it is convex in $heta$. In contrast, when $delta=1$, the effective Hamiltonian is piecewise linear and nonconvex in $heta$. Finally, when $deltain(0,1)$, the effective Hamiltonian is expressed completely in terms of the tilted free energy for the $delta=0$ case and its convexity/nonconvexity in $heta$ is characterized by a simple inequality involving $delta$ and the magnitude of the potential, thereby marking two qualitatively distinct control regimes.

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Cited in

(11)

• Stochastic homogenization of a class of quasiconvex viscous Hamilton-Jacobi equations in one space dimension
• Stochastic homogenization and effective Hamiltonians of Hamilton-Jacobi equations in one space dimension: the double-well case
• Stochastic homogenization of a class of nonconvex viscous HJ equations in one space dimension
• Stochastic homogenization of certain nonconvex Hamilton-Jacobi equations
• An example of failure of stochastic homogenization for viscous Hamilton-Jacobi equations without convexity
• Homogenization of a class of one-dimensional nonconvex viscous Hamilton-Jacobi equations with random potential
• Stochastic homogenization of a class of quasiconvex and possibly degenerate viscous HJ equations in 1D
• Stochastic homogenization of nonconvex viscous Hamilton-Jacobi equations in one space dimension
• Stochastic homogenization of quasiconvex degenerate viscous HJ equations in 1d
• Homogenization of nonconvex viscous Hamilton-Jacobi equations in stationary ergodic media in one dimension
• Stochastic homogenization of nondegenerate viscous HJ equations in 1D

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