A sublinear variance bound for solutions of a random Hamilton-Jacobi equation

DOI10.1007/S10955-012-0590-YzbMATH Open1273.82061arXiv1206.2937OpenAlexW2063434564MaRDI QIDQ691016FDOQ691016

Authors: M. C. Fu 

Publication date: 29 November 2012

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: We estimate the variance of the value function for a random optimal control problem. The value function is the solution $w^{e}psilon$ of a Hamilton-Jacobi equation with random Hamiltonian $H(p,x,omega)=K(p)-V(x/epsilon,omega)$ in dimension $dgeq2$. It is known that homogenization occurs as $epsilono0$, but little is known about the statistical fluctuations of $w^{e}psilon$. Our main result shows that the variance of the solution $w^{e}psilon$ is bounded by $O(epsilon/|logepsilon|)$. The proof relies on a modified Poincar'e inequality of Talagrand.

Full work available at URL: https://arxiv.org/abs/1206.2937

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zbMATH Keywords

Hamilton-Jacobi equationsstochastic homogenizationrandom media

Mathematics Subject Classification ID

Hamilton-Jacobi equations (35F21) Optimal stochastic control (93E20) Dynamics of disordered systems (random Ising systems, etc.) in time-dependent statistical mechanics (82C44)

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Cited In (7)

• Periodic approximations of the ergodic constants in the stochastic homogenization of nonlinear second-order (degenerate) equations
• Quantitative Stochastic Homogenization of Viscous Hamilton-Jacobi Equations
• Stochastic homogenization of nonconvex Hamilton-Jacobi equations in one space dimension
• Stochastic homogenization of a nonconvex Hamilton-Jacobi equation
• Error estimates and convergence rates for the stochastic homogenization of Hamilton-Jacobi equations
• Positive temperature versions of two theorems on first-passage percolation
• Stochastic Homogenization of Nonconvex Hamilton‐Jacobi Equations: A Counterexample

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