Central limit theorem for stochastic Hamilton-Jacobi equations

DOI10.1007/S002200050820MaRDI QIDQ1581622zbMATH OpenOpenAlexFDO

Authors Fraydoun Rezakhanlou

Publication date 8 October 2000

Published in Communications in Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002200050820

zbMATH Keywords

asymptotic behaviourHamilton-Jacobi equation

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Central limit and other weak theorems (60F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

The asymptotic behaviour of the solution to the Hamilton-Jacobi equation \(u_t+ H(x,u_x)= 0\) with a random Hamiltonian \(H\) is considered. Sufficient conditions are given, under which \[ \varepsilon u(t/\varepsilon, x/\varepsilon)= \overline u(t,x)+ \sqrt\varepsilon Z(t,x)+ o(\sqrt\varepsilon)\quad\text{as }\varepsilon\to 0, \] where \(\overline u\) is a deterministic function (a solution to the homogenized equation \(\overline u_t+\overline H(\overline u_x)= 0\) with a deterministic Hamiltonian \(\overline H\)) and \(Z(t,x)\) is a random field.

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(13)

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• Estimates for multiple stochastic integrals and stochastic Hamilton-Jacobi equations
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• A sublinear variance bound for solutions of a random Hamilton-Jacobi equation
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