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arXiv 1406.3605math.AP
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Hamilton-Jacobi方程黏性解的极小-极大表示及其在稀有事件模拟中的应用

Min-max representations of viscosity solutions of Hamilton-Jacobi equations and applications in rare-event simulation

Boualem Djehiche, Henrik Hult, Pierre Nyquist

摘要:

本文在凸的和状态依赖的哈密顿量的背景下,导出了Mañé势和Mather作用泛函之间的对偶关系。利用对偶关系得到了一阶Hamilton-Jacobi方程的黏性解的极小-极大表示。这些最小-最大表示自然地暗示了在大偏差理论中出现的Hamilton-Jacobi方程的子解的类。子解,反过来,是很好的候选人设计有效的稀有事件模拟算法。

英文摘要:

In this paper a duality relation between the Mañé potential and Mather's action functional is derived in the context of convex and state-dependent Hamiltonians. The duality relation is used to obtain min-max representations of viscosity solutions of first order Hamilton-Jacobi equations. These min-max representations naturally suggest class\-es of subsolutions of Hamilton-Jacobi equations that arise in the theory of large deviations. The subsolutions, in turn, are good candidates for designing efficient rare-event simulation algorithms.

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