Under usual assumptions on the Hamiltonian, we prove that any viscosity solution of the corresponding Hamilton-Jacobi equation on the manifold M is locally semiconcave and C loc outside the closure of its singular set (which is nowhere dense in M). Moreover, we prove that, under additional assumptions and in low dimension, any viscosity solution of that Hamilton-Jacobi equation satisfies a gene...

Some properties of characteristic curves in connection with viscosity solution of Hamilton-Jacobi equations (H,σ) defined by Hopf formula u(t, x) = maxq∈Rn{〈x, q〉 − σ(q) − tH(q)} are studied. We are concerned with the points where the solution u(t, x) is differentiable, and the strip of the formR = (0, t0)×R of the domain Ω where u(t, x) is of class C1(R). Moreover, we investigate the propagati...

This paper analyzes a class of impulse control problems for multidimensional jump diffusions in the finite time horizon. Following the basic mathematical setup from Stroock and Varadhan [Multidimensional Diffusion Processes, Springer-Verlag, Heidelberg, 2006], this paper first establishes rigorously an appropriate form of the dynamic programming principle. It then shows that the value function ...

This paper investigates the structure of two-dimensional Riemann problems for Hamilton-Jacobi equations. We show that it is possible for the viscosity solution to contain closed characteristic orbits , enclosing furthermore a periodic sonic structure, which in turn encloses a parabolic structure. The existence of such examples elucidates the diiculties encountered in designing construction meth...

Abstract. We introduce a concept of viscosity solutions for Hamilton-Jacobi equations (HJE) in the Wasserstein space. We prove existence of solutions for the Cauchy problem for certain Hamiltonians defined on the Wasserstein space over the real line. In order to illustrate the link between HJE in the Wasserstein space and Fluid Mechanics, in the last part of the paper we focus on a special Hami...

We get existence, uniqueness and non-uniqueness of viscosity solutions of uniformly elliptic fully nonlinear equations of Hamilton-Jacobi-BellmanIsaacs type, with unbounded ingredients and quadratic growth in the gradient, without hypotheses of convexity or properness. Some of our results are new even for equations in divergence form.

This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. The optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-JacobiBellman equation, which is shown to exist and is characterized. The optimal policy is then given f...

We consider the Hamilton-Jacobi equation H(x,Du) = 0 in Rn, with H non enjoying any convexity properties in the second variable. Our aim is to establish existence and nonexistence theorems for viscosity solutions of associated Dirichlet problems, find representation formulae and prove comparison principles. Our analysis is based on the introduction of a metric intrinsically related to the 0–sub...

the inverse problem of identifying an unknown source control param- eter in a semilinear parabolic equation under an integral overdetermina- tion condition is considered. the series pattern solution of the proposed problem is obtained by using the weighted homotopy analysis method (wham). a description of the method for solving the problem and nding the unknown parameter is derived. finally, tw...