Premium
Stochastic homogenization of Hamilton‐Jacobi‐Bellman equations
Author(s) -
Kosygina Elena,
Rezakhanlou Fraydoun,
Varadhan S. R. S.
Publication year - 2006
Publication title -
communications on pure and applied mathematics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.12
H-Index - 115
eISSN - 1097-0312
pISSN - 0010-3640
DOI - 10.1002/cpa.20137
Subject(s) - mathematics , homogenization (climate) , hamilton–jacobi equation , bellman equation , mathematical analysis , mathematical optimization , biodiversity , ecology , biology
We study the homogenization of some Hamilton‐Jacobi‐Bellman equations with a vanishing second‐order term in a stationary ergodic random medium under the hyperbolic scaling of time and space. Imposing certain convexity, growth, and regularity assumptions on the Hamiltonian, we show the locally uniform convergence of solutions of such equations to the solution of a deterministic “effective” first‐order Hamilton‐Jacobi equation. The effective Hamiltonian is obtained from the original stochastic Hamiltonian by a minimax formula. Our homogenization results have a large‐deviations interpretation for a diffusion in a random environment. © 2005 Wiley Periodicals, Inc.