Search results for "viscosity solution"

A Viscosity Equation for Minimizers of a Class of Very Degenerate Elliptic Functionals

2013

We consider the functional $$J(v) = \int_\varOmega\bigl[f\bigl(|\nabla v|\bigr) - v\bigr] dx, $$ where Ω is a bounded domain and f:[0,+∞)→ℝ is a convex function vanishing for s∈[0,σ], with σ>0. We prove that a minimizer u of J satisfies an equation of the form $$\min\bigl(F\bigl(\nabla u, D^2 u\bigr), |\nabla u|-\sigma\bigr)=0 $$ in the viscosity sense.

Mean-field games and dynamic demand management in power grids

2013

This paper applies mean-field game theory to dynamic demand management. For a large population of electrical heating or cooling appliances (called agents), we provide a mean-field game that guarantees desynchronization of the agents thus improving the power network resilience. Second, for the game at hand, we exhibit a mean-field equilibrium, where each agent adopts a bang-bang switching control with threshold placed at a nominal temperature. At equilibrium, through an opportune design of the terminal penalty, the switching control regulates the mean temperature (computed over the population) and the mains frequency around the nominal value. To overcome Zeno phenomena we also adjust the ban…

Hölder regularity for the gradient of the inhomogeneous parabolic normalized p-Laplacian

2018

In this paper, we study an evolution equation involving the normalized [Formula: see text]-Laplacian and a bounded continuous source term. The normalized [Formula: see text]-Laplacian is in non-divergence form and arises for example from stochastic tug-of-war games with noise. We prove local [Formula: see text] regularity for the spatial gradient of the viscosity solutions. The proof is based on an improvement of flatness and proceeds by iteration.

Convergence of a high-order compact finite difference scheme for a nonlinear Black-Scholes equation

2004

A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.

A continuous time tug-of-war game for parabolic $p(x,t)$-Laplace type equations

2019

We formulate a stochastic differential game in continuous time that represents the unique viscosity solution to a terminal value problem for a parabolic partial differential equation involving the normalized $p(x,t)$-Laplace operator. Our game is formulated in a way that covers the full range $1<p(x,t)<\infty$. Furthermore, we prove the uniqueness of viscosity solutions to our equation in the whole space under suitable assumptions.

TUG-OF-WAR, MARKET MANIPULATION, AND OPTION PRICING

2014

We develop an option pricing model based on a tug-of-war game involving the the issuer and holder of the option. This two-player zero-sum stochastic differential game is formulated in a multi-dimensional financial market and the agents try, respectively, to manipulate/control the drift and the volatility of the asset processes in order to minimize and maximize the expected discounted pay-off defined at the terminal date $T$. We prove that the game has a value and that the value function is the unique viscosity solution to a terminal value problem for a partial differential equation involving the non-linear and completely degenerate parabolic infinity Laplace operator.

Robust optimality of linear saturated control in uncertain linear network flows

2008

We propose a novel approach that, given a linear saturated feedback control policy, asks for the objective function that makes robust optimal such a policy. The approach is specialized to a linear network flow system with unknown but bounded demand and politopic bounds on controlled flows. All results are derived via the Hamilton-Jacobi-Isaacs and viscosity theory.

Decay estimates in the supremum norm for the solutions to a nonlinear evolution equation

2014

We study the asymptotic behaviour, as t → ∞, of the solutions to the nonlinear evolution equationwhere ΔpNu = Δu + (p−2) (D2u(Du/∣Du∣)) · (Du/∣Du∣) is the normalized p-Laplace equation and p ≥ 2. We show that if u(x,t) is a viscosity solution to the above equation in a cylinder Ω × (0, ∞) with time-independent lateral boundary values, then it converges to the unique stationary solution h as t → ∞. Moreover, we provide an estimate for the decay rate of maxx∈Ω∣u(x,t) − h(x)∣.

Regularity properties of tug-of-war games and normalized equations

2017

Fronts propagating with signal dependent speed in limited diffusion and related Hamilton-Jacobi formulations

2021

We consider a class of limited diffusion equations and explore the formation of diffusion fronts as the result of a combination of diffusive and hyperbolic transport. We analyze a new class of Hamilton-Jacobi equations arising from the convective part of general Fokker-Planck equations ruled by a non-negative diffusion coefficient that depends on the unknown and on the gradient of the unknown. We explore the main features of the solution of the Hamilton-Jacobi equations that contain shocks and propose a suitable numerical scheme that approximates the solution in a consistent way with respect to the solution of the associated Fokker-Planck equation. We analyze three model problems covering d…