A viscosity solution of the Hamilton–Jacobi equation with exponential dependence of Hamiltonian on the momentum

The initial – boundary value problem is considered for the Hamilton-Jacobi of evolutionary type in the case when the state space is one-dimensional. The Hamiltonian depends on the state and momentum variables, and the dependence on the momentum variable is exponential. The problem is considered on fixed bounded time interval, and the state variable changes from a given fixed value to infinity. The initial and boundary functions are subdifferentiable. It is proved that such a problem has a continuous generalized viscosity) solution. The representative formula is given for this solution. Sufficient conditions are indicated under which the generalized solution is unique. Hamilton-Jacobi equations with an exponential dependence on the momentum variable are atypical for theory, but such equations arise in practical problems, for example, in molecular genetics.

Nonconcave Utility Maximization with Portfolio Bounds

The problems of nonconcave utility maximization appear in many areas of finance and economics, such as in behavioral economics, incentive schemes, aspiration utility, and goal-reaching problems. Existing literature solves these problems using the concavification principle. We provide a framework for solving nonconcave utility maximization problems, where the concavification principle may not hold, and the utility functions can be discontinuous. We find that adding portfolio bounds can offer distinct economic insights and implications consistent with existing empirical findings. Theoretically, by introducing a new definition of viscosity solution, we show that a monotone, stable, and consistent finite difference scheme converges to the value functions of the nonconcave utility maximization problems. This paper was accepted by Agostino Capponi, finance.

Continuity of the value function for deterministic optimal impulse control with terminal state constraint

Deterministic optimal impulse control problem with terminal state constraint is considered. Due to the appearance of the terminal state constraint, the value function might be discontinuous in general. The main contribution of this paper is the introduction of an intrinsic condition under which the value function is proved to be continuous. Then by a Bellman dynamic programming principle, the corresponding Hamilton-Jacobi-Bellman type quasi-variational inequality (QVI, for short) is derived. The value function is proved to be a viscosity solution to such a QVI. The issue of whether the value function is characterized as the unique viscosity solution to this QVI is carefully addressed and the answer is left open challengingly.

Characterization of Minimizers of Aviles–Giga Functionals in Special Domains

We consider the singularly perturbed problem $$F_\varepsilon (u,\Omega ):=\int _\Omega \varepsilon |\nabla ^2u|^2 + \varepsilon ^{-1}|1-|\nabla u|^2|^2$$ F ε ( u , Ω ) : = ∫ Ω ε | ∇ 2 u | 2 + ε - 1 | 1 - | ∇ u | 2 | 2 on bounded domains $$\Omega \subset {\mathbb {R}}^2$$ Ω ⊂ R 2 . Under appropriate boundary conditions, we prove that if $$\Omega $$ Ω is an ellipse, then the minimizers of $$F_\varepsilon (\cdot ,\Omega )$$ F ε ( · , Ω ) converge to the viscosity solution of the eikonal equation $$|\nabla u|=1$$ | ∇ u | = 1 as $$\varepsilon \rightarrow 0$$ ε → 0 .

Maximum Principles and ABP Estimates to Nonlocal Lane–Emden Systems and Some Consequences

This paper deals with maximum principles depending on the domain and ABP estimates associated to the following Lane–Emden system involving fractional Laplace operators: { ( - Δ ) s ⁢ u = λ ⁢ ρ ⁢ ( x ) ⁢ | v | α - 1 ⁢ v in ⁢ Ω , ( - Δ ) t ⁢ v = μ ⁢ τ ⁢ ( x ) ⁢ | u | β - 1 ⁢ u in ⁢ Ω , u = v = 0 in ⁢ ℝ n ∖ Ω , \left\{\begin{aligned} \displaystyle(-\Delta)^{s}u&\displaystyle=\lambda\rho(x% )\lvert v\rvert^{\alpha-1}v&&\displaystyle\phantom{}\text{in }\Omega,\\ \displaystyle(-\Delta)^{t}v&\displaystyle=\mu\tau(x)\lvert u\rvert^{\beta-1}u&% &\displaystyle\phantom{}\text{in }\Omega,\\ \displaystyle u&\displaystyle=v=0&&\displaystyle\phantom{}\text{in }\mathbb{R}% ^{n}\setminus\Omega,\end{aligned}\right. where s , t ∈ ( 0 , 1 ) {s,t\in(0,1)} , α , β > 0 {\alpha,\beta>0} satisfy α ⁢ β = 1 {\alpha\beta=1} , Ω is a smooth bounded domain in ℝ n {\mathbb{R}^{n}} , n ≥ 1 {n\geq 1} , and ρ and τ are continuous functions on Ω ¯ {\overline{\Omega}} and positive in Ω. We establish some maximum principles depending on Ω. In particular, we explicitly characterize the measure of Ω for which the maximum principles corresponding to this problem hold in Ω. For this, we derived an explicit lower estimate of principal eigenvalues in terms of the measure of Ω. Aleksandrov–Bakelman–Pucci (ABP) type estimates for the above systems are also proved. We also show the existence of a viscosity solution for a nonlinear perturbation of the nonhomogeneous counterpart of the above problem with polynomial and exponential growths. As an application of the maximum principles, we measure explicitly how small | Ω | {\lvert\Omega\rvert} has to be to ensure the positivity of the obtained solutions.

Regularity for the fully nonlinear parabolic thin obstacle problem

We prove [Formula: see text] regularity (in the parabolic sense) for the viscosity solution of a boundary obstacle problem with a fully nonlinear parabolic equation in the interior. Following the method which was first introduced for the harmonic case by L. Caffarelli in 1979, we extend the results of I. Athanasopoulos (1982) who studied the linear parabolic case and the results of E. Milakis and L. Silvestre (2008) who treated the fully nonlinear elliptic case.