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Speed of propagation for Hamilton–Jacobi equations with multiplicative rough time dependence and convex Hamiltonians

Abstract

We show that the initial value problem for Hamilton–Jacobi equations with multiplicative rough time dependence, typically stochastic, and convex Hamiltonians satisfies finite speed of propagation. We prove that in general the range of dependence is bounded by a multiple of the length of the “skeleton” of the path, that is a piecewise linear path obtained by connecting the successive extrema of the original one. When the driving path is a Brownian motion, we prove that its skeleton has almost surely finite length. We also discuss the optimality of the estimate.

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Acknowledgements

Gassiat was partially supported by the ANR via the project ANR-16-CE40-0020-01. Souganidis was partially supported by the National Science Foundation Grant DMS-1600129 and the Office for Naval Research Grant N000141712095. Gess was partially supported by the DFG through CRC 1283.

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Correspondence to Pierre-Louis Lions.

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Gassiat, P., Gess, B., Lions, PL. et al. Speed of propagation for Hamilton–Jacobi equations with multiplicative rough time dependence and convex Hamiltonians. Probab. Theory Relat. Fields 176, 421–448 (2020). https://doi.org/10.1007/s00440-019-00921-5

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  • DOI: https://doi.org/10.1007/s00440-019-00921-5

Keywords

  • Stochastic viscosity solutions
  • Stochastic Hamilton–Jacobi equations
  • Speed of propagation

Mathematics Subject Classification

  • 60H15
  • 35D40