Homogenization of a class of one-dimensional nonconvex viscous Hamilton-Jacobi equations with random potential

DOI10.1080/03605302.2019.1657448zbMATH Open1437.35046arXiv1710.03087OpenAlexW2973847522MaRDI QIDQ5205885FDOQ5205885

Authors: Elena Kosygina, Atilla Yilmaz, Ofer Zeitouni 

Publication date: 17 December 2019

Published in: Communications in Partial Differential Equations (Search for Journal in Brave)

Abstract: We prove the homogenization of a class of one-dimensional viscous Hamilton-Jacobi equations with random Hamiltonians that are nonconvex in the gradient variable. Due to the special form of the Hamiltonians, the solutions of these PDEs with linear initial conditions have representations involving exponential expectations of controlled Brownian motion in a random potential. The effective Hamiltonian is the asymptotic rate of growth of these exponential expectations as time goes to infinity and is explicit in terms of the tilted free energy of (uncontrolled) Brownian motion in a random potential. The proof involves large deviations, construction of correctors which lead to exponential martingales, and identification of asymptotically optimal policies.

Full work available at URL: https://arxiv.org/abs/1710.03087

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zbMATH Keywords

large deviationsbang-bangcorrectorstilted free energyrisk-sensitive stochastic optimal controlasymptotically optimal policyBrownian motion in a random potential

Mathematics Subject Classification ID

Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Hamilton-Jacobi equations (35F21) Processes in random environments (60K37) Optimal stochastic control (93E20)

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Cited In (10)

• Stochastic homogenization of a class of quasiconvex viscous Hamilton-Jacobi equations in one space dimension
• Homogenization of viscous and non-viscous HJ equations: a remark and an application
• Stochastic homogenization of certain nonconvex Hamilton-Jacobi equations
• Stochastic homogenization of nonconvex viscous Hamilton-Jacobi equations in one space dimension
• Breakdown of homogenization for the random Hamilton-Jacobi equations
• Stochastic homogenization of a class of nonconvex viscous HJ equations in one space dimension
• Stochastic homogenization of a class of quasiconvex and possibly degenerate viscous HJ equations in 1D
• Stochastic homogenization of quasiconvex degenerate viscous HJ equations in 1d
• Nonconvex homogenization for one-dimensional controlled random walks in random potential
• Stochastic homogenization and effective Hamiltonians of Hamilton-Jacobi equations in one space dimension: the double-well case

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