Non-convex Hamilton-Jacobi equations with gradient constraints

DOI10.1016/J.NA.2021.112362zbMATH Open1466.35069arXiv2010.13622OpenAlexW3158662043MaRDI QIDQ2033013FDOQ2033013

Authors: Héctor A. Chang-Lara, Edgard Pimentel 

Publication date: 14 June 2021

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Abstract: We study non-convex Hamilton-Jacobi equations in the presence of gradient constraints and produce new, optimal, regularity results for the solutions. A distinctive feature of those equations regards the existence of a lower bound to the norm of the gradient; it competes with the elliptic operator governing the problem, affecting the regularity of the solutions. This class of models relates to various important questions and finds applications in several areas; of particular interest is the modeling of optimal dividends problems for multiple insurance companies in risk theory and singular stochastic control in reversible investment models.

Full work available at URL: https://arxiv.org/abs/2010.13622

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zbMATH Keywords

optimal regularityLipschitz-continuitynon-convex Hamilton-Jacobi equations

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Regularity of solutions in optimal control (49N60) Hamilton-Jacobi equations (35F21) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cited In (5)

• Nonlocal equations with gradient constraints
• Well-posedness for a transmission problem connecting first and second-order operators
• The Hamilton-Jacobi-Bellman equation with a gradient constraint
• On Hamilton-Jacobi-Bellman equations with convex gradient constraints
• Envelopes and nonconvex Hamilton-Jacobi equations

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