Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method

DOI10.1137/21M1395557zbMath1492.60183arXiv2102.00038OpenAlexW3127071273MaRDI QIDQ5081640

Erhan Bayraktar, Christian Keller

Publication date: 17 June 2022

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

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

zbMATH Keywords

optimal controlstate constraintsnonsmooth analysisbackward stochastic differential equationsvanishing viscosity methodcalculus of variationslarge deviationsminimax solutionspath-dependent partial differential equationsdini solutions

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Dual representation of minimal supersolutions of convex BSDEs
• Stability and Markov property of forward backward minimal supersolutions
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation
• Optimal transportation under controlled stochastic dynamics
• Viscosity solutions of fully nonlinear elliptic path dependent partial differential equations
• Viscosity solutions of path-dependent integro-differential equations
• The method of characteristics for Hamilton-Jacobi equations and applications to dynamical optimization
• Tightness results for laws of diffusion processes application to stochastic mechanics
• Optimal trajectories associated with a solution of the contingent Hamilton-Jacobi equation
• Path-dependent Hamilton-Jacobi equations in infinite dimensions
• Viscosity solutions of obstacle problems for fully nonlinear path-dependent PDEs
• Path-dependent equations and viscosity solutions in infinite dimension
• On representation formulas for Hamilton Jacobi's equations related to calculus of variations problems
• History path dependent optimal control and portfolio valuation and management
• Strong-viscosity solutions: classical and path-dependent PDEs
• Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
• Pseudo-Markovian viscosity solutions of fully nonlinear degenerate PPDEs
• Minimal supersolutions of convex BSDEs
• On viscosity solutions of path dependent PDEs
• Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control
• The Minimum Time Function for Semilinear Evolutions
• Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
• On the Existence of Optimal Controls
• Solutions to the Hamilton-Jacobi Equation for Bolza Problems with State Constraints and Discontinuous Time Dependent Data
• A Probabilistic Approach to the Generalized Hessian
• Generalized Solutions of the Hamilton–Jacobi Equation of Stochastic Control
• Value functions for Bolza problems with discontinuous Lagrangians and Hamilton-Jacobi inequalities
• Perron’s method for viscosity solutions of semilinear path dependent PDEs
• Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs
• Viscosity Solutions of Path-Dependent PDEs with Randomized Time
• Solutions to the Hamilton-Jacobi equation for Bolza problems with discontinuous time dependent data
• Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs
• Functional Itô calculus
• The Hamilton Jacobi Equation For Optimal Control Problems with Discontinuous Time Dependence
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• The value function representing Hamilton–Jacobi equation with Hamiltonian depending on value of solution
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Optimal control

This page was built for publication: Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method