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

DOI10.1007/S10955-012-0590-YMaRDI QIDQ691016zbMATH OpenOpenAlexFDO

Authors M. C. Fu

Publication date 29 November 2012

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

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

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)

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.

Recommendations

• Homogenization for stochastic Hamilton-Jacobi equations
• scientific article; zbMATH DE number 5366618
• Central limit theorem for stochastic Hamilton-Jacobi equations
• Quantitative Stochastic Homogenization of Viscous Hamilton-Jacobi Equations
• Stochastic homogenization of a nonconvex Hamilton-Jacobi equation

Cites work

• scientific article; zbMATH DE number 1375121 (Why is no real title available?)
• Central limit theorem for stochastic Hamilton-Jacobi equations
• Exponential concentration for first passage percolation through modified Poincaré inequalities
• First passage percolation has sublinear distance variance.
• Fluctuation exponent of the KPZ/stochastic Burgers equation
• Homogenization for stochastic Hamilton-Jacobi equations
• Homogenization of Hamilton‐Jacobi‐Bellman equations with respect to time‐space shifts in a stationary ergodic medium
• Homogenization of “Viscous” Hamilton–Jacobi Equations in Stationary Ergodic Media
• On Russo's approximate zero-one law
• Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Scaling for a one-dimensional directed polymer with boundary conditions
• Shape fluctuations and random matrices
• Stochastic homogenization of Hamilon-Jacobi and ``viscous-Hamilton-Jacobi equations with convex nonlinearities -- revisited
• Stochastic homogenization of Hamilton-Jacobi equations in stationary ergodic spatio-temporal media
• Stochastic homogenization of Hamilton-Jacobi-Bellman equations
• Subgaussian concentration and rates of convergence in directed polymers
• The Kardar-Parisi-Zhang equation and universality class

Cited in

(7)

• Periodic approximations of the ergodic constants in the stochastic homogenization of nonlinear second-order (degenerate) equations
• Stochastic homogenization of nonconvex Hamilton-Jacobi equations in one space dimension
• Quantitative Stochastic Homogenization of Viscous Hamilton-Jacobi Equations
• 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

This page was built for publication: A sublinear variance bound for solutions of a random Hamilton-Jacobi equation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q691016)