Equivalence of minimax and viscosity solutions of path-dependent Hamilton-Jacobi equations

DOI10.1016/J.JFA.2023.110155zbMATH Open1523.35294arXiv2204.09275OpenAlexW4386247031MaRDI QIDQ6056512FDOQ6056512

Authors: Mikhail Gomoyunov, A. R. Plaksin 

Publication date: 2 October 2023

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: In the paper, we consider a path-dependent Hamilton-Jacobi equation with coinvariant derivatives over the space of continuous functions. Such equations arise from optimal control problems and differential games for time-delay systems. We study generalized solutions of the considered Hamilton-Jacobi equation both in the minimax and in the viscosity sense. A minimax solution is defined as a functional which epigraph and subgraph satisfy certain conditions of weak invariance, while a viscosity solution is defined in terms of a pair of inequalities for coinvariant sub- and super-gradients. We prove that these two notions are equivalent, which is the main result of the paper. As a corollary, we obtain comparison and uniqueness results for viscosity solutions of a Cauchy problem for the considered Hamilton-Jacobi equation and a right-end boundary condition. The proof is based on a certain property of the coinvariant subdifferential. To establish this property, we develop a technique going back to the proofs of multidirectional mean-value inequalities. In particular, the absence of the local compactness property of the underlying continuous function space is overcome by using Borwein-Preiss variational principle with an appropriate guage-type functional.

Full work available at URL: https://arxiv.org/abs/2204.09275

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zbMATH Keywords

viscosity solutionsvariational principleminimax solutionspath-dependent Hamilton-Jacobi equations

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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Cited In (9)

• On two-sided unidirectional mean value inequality in a Fréchet smooth space
• Path-dependent Hamilton-Jacobi equations: the minimax solutions revised
• A convergence theorem for Crandall-Lions viscosity solutions to path-dependent Hamilton-Jacobi-Bellman PDEs
• Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method
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• Viscosity solutions of Hamilton-Jacobi equations for neutral-type systems
• Mean viability theorems and second-order Hamilton-Jacobi equations

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