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Reports (Research Report) Year : 1995

Regular Solutions of Second-Order Stationary Hamilton-Jacobi Equations

Fausto Gozzi

Abstract

We study a second-order stationary Hamilton-Jacobi equation in infinite dimension. This equation is nonlinear and convex with respect to the first-ord- er term. We use properties of a the transition semigroup associated to the linear equation to write the Hamilton-Jacobi equation in integral form and we prove that this solution is the pointwise limit of a uniformly bounded sequence of classical solutions of approximating problems. Finally, the solution is the value function of the associated optimal stochastic control problem. Some examples are given.
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Dates and versions

inria-00074041 , version 1 (24-05-2006)

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  • HAL Id : inria-00074041 , version 1

Cite

Fausto Gozzi, Elisabeth Rouy. Regular Solutions of Second-Order Stationary Hamilton-Jacobi Equations. [Research Report] RR-2649, INRIA. 1995, pp.33. ⟨inria-00074041⟩
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