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arXiv · 2002.06674

Discrete approximation of the viscous HJ equation

Andrea Davini·Hitoshi Ishii·Renato Iturriaga·Hector Sanchez Morgado
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Abstract

We consider a stochastic discretization of the stationary viscous Hamilton Jacobi equation on the flat d dimensional torus, associated with a Hamiltonian, convex and superlinear in the momentum variable. We show that each discrete problem admits a unique continuous solution on the torus, up to additive constants. By additionally assuming a technical condition on the associated Lagrangian, we show that each solution of the viscous Hamilton Jacobi equation is the limit of solutions of the discrete problems, as the discretization step goes to zero.

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Andrea Davini, Hitoshi Ishii, Renato Iturriaga, Hector Sanchez Morgado. 2020-02-16. Discrete approximation of the viscous HJ equation. https://arxiv.org/abs/2002.06674

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