Path-Dependent Hamilton--Jacobi Equations with Super-Quadratic Growth in the Gradient and the Vanishing Viscosity Method
DOI10.1137/21M1395557zbMath1492.60183arXiv2102.00038OpenAlexW3127071273MaRDI QIDQ5081640
Erhan Bayraktar, Christian Keller
Publication date: 17 June 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.00038
optimal controlstate constraintsnonsmooth analysisbackward stochastic differential equationsvanishing viscosity methodcalculus of variationslarge deviationsminimax solutionspath-dependent partial differential equationsdini solutions
Nonsmooth analysis (49J52) Applications of stochastic analysis (to PDEs, etc.) (60H30) Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Second-order parabolic equations (35K10) Hamilton-Jacobi equations (35F21)
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