Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method

DOI10.1137/21M1395557zbMATH Open1492.60183arXiv2102.00038OpenAlexW3127071273MaRDI QIDQ5081640FDOQ5081640

Authors: Erhan Bayraktar, Christian Keller 

Publication date: 17 June 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: The non-exponential Schilder-type theorem in Backhoff-Veraguas, Lacker and Tangpi [Ann. Appl. Probab., 30 (2020), pp. 1321-1367] is expressed as a convergence result for path-dependent partial differential equations with appropriate notions of generalized solutions. This entails a non-Markovian counterpart to the vanishing viscosity method. We show uniqueness of maximal subsolutions for path-dependent viscous Hamilton-Jacobi equations related to convex super-quadratic backward stochastic differential equations. We establish well-posedness for the Hamilton-Jacobi-Bellman equation associated to a Bolza problem of the calculus of variations with path-dependent terminal cost. In particular, uniqueness among lower semi-continuous solutions holds and state constraints are admitted.

Full work available at URL: https://arxiv.org/abs/2102.00038

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zbMATH Keywords

large deviationsbackward stochastic differential equationscalculus of variationsnonsmooth analysisoptimal controlstate constraintsvanishing viscosity methodminimax solutionspath-dependent partial differential equationsdini solutions

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Nonsmooth analysis (49J52) Hamilton-Jacobi equations (35F21) Second-order parabolic equations (35K10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (7)

• A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
• Hölder Continuity to Hamilton-Jacobi Equations with Superquadratic Growth in the Gradient and Unbounded Right-hand Side
• Minimax solutions of Hamilton-Jacobi equations in dynamic optimization problems for hereditary systems
• Viability for locally monotone evolution inclusions and lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations in infinite dimensions
• Optimal control of stochastic delay differential equations: optimal feedback controls
• Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations
• Mean viability theorems and second-order Hamilton-Jacobi equations

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