User’s guide to viscosity solutions of second order partial differential equations

DOI10.1090/S0273-0979-1992-00266-5zbMATH Open0755.35015arXivmath/9207212OpenAlexW2032316144WikidataQ57256871 ScholiaQ57256871MaRDI QIDQ4016740FDOQ4016740

Authors: Hitoshi Ishii, P.-L. Lions, Michael G. Crandall 

Publication date: 16 January 1993

Published in: Bulletin of the American Mathematical Society (Search for Journal in Brave)

Abstract: The notion of viscosity solutions of scalar fully nonlinear partial differential equations of second order provides a framework in which startling comparison and uniqueness theorems, existence theorems, and theorems about continuous dependence may now be proved by very efficient and striking arguments. The range of important applications of these results is enormous. This article is a self-contained exposition of the basic theory of viscosity solutions.

Full work available at URL: https://arxiv.org/abs/math/9207212

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zbMATH Keywords

dynamic programmingHamilton-Jacobi equationsfully nonlinear equationsPerron's method

Mathematics Subject Classification ID

Oscillation, zeros of solutions, mean value theorems, etc. in context of PDEs (35B05) Maximum principles in context of PDEs (35B50) Nonlinear elliptic equations (35J60) Singular perturbations in context of PDEs (35B25) Nonlinear first-order PDEs (35F20) Boundary value problems for second-order elliptic equations (35J25) Initial value problems for second-order parabolic equations (35K15) Initial-boundary value problems for second-order parabolic equations (35K20) Nonlinear parabolic equations (35K55) Degenerate parabolic equations (35K65) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Cited In (only showing first 100 items - show all)

• Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricing
• Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations
• A semi-Lagrangian scheme for a degenerate second order mean field game system
• Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
• On the differentiability of the solutions of non-local Isaacs equations involving \(\frac{1}{2}\)-Laplacian
• Optimal consumption of the stochastic Ramsey problem for non-Lipschitz diffusion
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• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• An eigenvalue problem with variable exponents
• Optimal stopping under nonlinear expectation
• Optimal control with random parameters: a multiscale approach
• Wellposedness of second order backward SDEs
• Small-time asymptotics for fast mean-reverting stochastic volatility models
• NUMERICAL METHODS FOR DIFFERENTIAL GAMES BASED ON PARTIAL DIFFERENTIAL EQUATIONS
• Ergodic Type Problems and Large Time Behaviour of Unbounded Solutions of Hamilton–Jacobi Equations
• Quantitative stochastic homogenization of elliptic equations in nondivergence form
• Mayer and optimal stopping stochastic control problems with discontinuous cost
• Convex Hamilton-Jacobi equations under superlinear growth conditions on data
• Stochastic optimal control and linear programming approach
• On the differentiability of the solution to the Hamilton-Jacobi equation with critical fractional diffusion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
• Excess action and broken characteristics for Hamilton-Jacobi equations
• Optimal investment for insurer with jump-diffusion risk process
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
• Second order parabolic Hamilton-Jacobi-Bellman equations in Hilbert spaces and stochastic control: \(L^{2}_{\mu}\) approach
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Multidimensional shock interaction for a Chaplygin gas
• Optimal investment policy and dividend payment strategy in an insurance company
• Symmetry results for viscosity solutions of fully nonlinear uniformly elliptic equations
• Penalty approach to the HJB equation arising in European stock option pricing with proportional transaction costs
• Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations
• Beale-Kato-Majda type condition for Burgers equation
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Nonlinear Neumann boundary conditions for quasilinear degenerate elliptic equations and applications
• Ginzburg-Landau equation and motion by mean curvature. I: Convergence
• Axioms and fundamental equations of image processing
• A splitting algorithm for Hamilton-Jacobi-Bellman equations
• Phragmén-Lindelöf theorems and \(p\)-harmonic measures for sets near low-dimensional hyperplanes
• Parabolic Monge-Ampère equations giving rise to a free boundary: the worn stone model
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• Continuous dependence estimates for viscosity solutions of integro-PDEs
• Potential estimates for a class of fully nonlinear elliptic equations.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
• Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II.
• Some results on a class of degenerate parabolic equations not in divergence form
• Erratum to: Asset price bubbles from heterogeneous beliefs about mean reversion rates
• Optimal stopping under ambiguity in continuous time
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• A numerical scheme for the quantile hedging problem
• Explicit solution to the multivariate super-replication problem under transaction costs.
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Long time averaged reflection force and homogenization of oscillating Neumann boundary conditions.
• Harnack type estimates for nonlinear elliptic systems and applications
• Convergence of the phase-field equations to the Mullins-Sekerka problem with kinetic undercooling
• A homogenization approach for the motion of motor proteins
• A fully nonlinear partial differential equation and its application to the \(\sigma_k\)-Yamabe problem
• Spreading speeds of nonlocal KPP equations in almost periodic media
• Optimal consumption under deterministic income
• Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations
• Dynamic programming and error estimates for stochastic control problems with maximum cost
• Steiner symmetrization for anisotropic quasilinear equations via partial discretization
• Homogenization for nonlinear PDEs in general domains with oscillatory Neumann boundary data
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Singular solutions of fully nonlinear elliptic equations and applications
• Fully nonlinear parabolic dead core problems
• On numerical approximation of the Hamilton-Jacobi-transport system arising in high frequency approximations
• On viscosity solutions of path dependent PDEs
• Multiscale problems and homogenization for second-order Hamilton-Jacobi equations
• Mapped WENO and weighted power ENO reconstructions in semi-discrete central schemes for Hamilton-Jacobi equations
• Fractal first-order partial differential equations
• Stochastic differential games with asymmetric information
• Nonlinear elliptic-parabolic problems
• Regularity for solutions of non local parabolic equations
• Necessary and sufficient condition for comparison theorem of 1-dimensional stochastic differential equations
• Local \(C^{0,\alpha }\) estimates for viscosity solutions of Neumann-type boundary value problems
• Optimal stock liquidation in a regime switching model with finite time horizon
• Stochastic zero-sum differential games and backward stochastic differential equations
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• THE GEOMETRY OF DISSIPATIVE EVOLUTION EQUATIONS: THE POROUS MEDIUM EQUATION
• Nonlinear optimal control problems of degenerate parabolic equations with logistic time-varying delays of convolution type
• Concentration in the nonlocal Fisher equation: the Hamilton-Jacobi limit
• Semi-Lagrangian schemes for linear and fully non-linear diffusion equations
• The Dirichlet problem for the convex envelope
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• A deterministic-control-based approach to fully nonlinear parabolic and elliptic equations
• Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
• Viscosity solutions for monotone systems of second–order elliptic PDES
• On ergodic stochastic control
• The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
• On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
• Homogenization of “Viscous” Hamilton–Jacobi Equations in Stationary Ergodic Media
• An approximation scheme for the optimal control of diffusion processes
• Numerical Schemes for Conservation Laws via Hamilton-Jacobi Equations

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