KAUST DepartmentApplied Mathematics and Computational Science Program
Computer, Electrical and Mathematical Science and Engineering (CEMSE) Division
KAUST Grant NumberOSR-CRG2017-3452
Preprint Posting Date2020-06-08
Online Publication Date2021-11-30
Print Publication Date2022-12
Embargo End Date2022-11-30
Permanent link to this recordhttp://hdl.handle.net/10754/663760
MetadataShow full item record
AbstractHere, we study the large-time limit of viscosity solutions of the Cauchy problem for second-order Hamilton–Jacobi–Bellman equations with convex Hamiltonians in the torus. This large-time limit solves the corresponding stationary problem, sometimes called the ergodic problem. This problem, however, has multiple viscosity solutions and, thus, a key question is which of these solutions is selected by the limit. Here, we provide a representation for the viscosity solution to the Cauchy problem in terms of generalized holonomic measures. Then, we use this representation to characterize the large-time limit in terms of the initial data and generalized Mather measures. In addition, we establish various results on generalized Mather measures and duality theorems that are of independent interest.
CitationGomes, D. A., Mitake, H., & Tran, H. V. (2021). The large time profile for Hamilton–Jacobi–Bellman equations. Mathematische Annalen. doi:10.1007/s00208-021-02320-5
SponsorsWe would like to thank Hitoshi Ishii for his suggestions on the approximations of viscosity solutions and subsolutions in Appendix B. We are grateful to Toshio Mikami for the discussions on Theorem 1.1 and for giving us relevant references on the duality result in Theorem 1.4.
PublisherSpringer Science and Business Media LLC