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The Hopf--Lax formula solves the Hamilton--Jacobi Cauchy problem
Statement
Let be finite-valued, continuous, convex, and superlinear, with Legendre transform , and let be bounded and uniformly continuous. Define by The Hopf--Lax operator and the Hopf--Lax formula. Then is a bounded uniformly continuous function on for every , and: (1) is a viscosity solution of in ; (2) attains the initial datum locally uniformly, for every compact ; (3) is the unique bounded uniformly continuous viscosity solution of the Cauchy problem with datum ; (4) satisfies the dynamic-programming relation of The Hopf--Lax operators form a semigroup (dynamic programming). No choice principle is used.
Facts & Assumptions
Given: A finite continuous convex superlinear with Legendre transform , a bounded uniformly continuous datum with bounded modulus (replace any given modulus by its minimum with ), and .
For , , the infimum being attained, and is real-valued on (The Hopf--Lax operator and the Hopf--Lax formula, Finiteness, superlinearity of the Lagrangian and localisation of Hopf--Lax near-minimisers).
has the modulus of , and (The Hopf--Lax operator preserves a modulus of continuity, The Hopf--Lax operator is a contraction in the supremum norm).
Comparison for autonomous convex superlinear Hamiltonians: bounded uniformly continuous subsolutions and supersolutions of on with ordered continuous initial traces satisfy the comparison inequality (Comparison for autonomous convex superlinear Hamiltonians).
Proof
Boundedness and uniform continuity. For every and we have : the upper bound is the competitor in [F1], and the lower bound follows from . By [F4] the map is uniformly continuous with modulus uniformly in . For , [F2] and [F4] give ; and as , since and , the supremum tending to as follows. For , set and choose . Superlinearity and continuity of give with everywhere. If , then ; if , then gives the bound . Thus the limsup of the supremum is at most , which tends to zero as ; its liminf is at least zero by the competitor and . Hence is bounded and uniformly continuous on each strip .
The subsolution inequality. Let and let have a strict local maximum at with . Fix and small , put , and use the dynamic-programming identity , the inequality coming from the competitor in the infimum defining . The contact inequality at gives , and combining the two gives . Dividing by and letting yields for every ; taking the supremum over and using of [F3] gives . Non-strict maxima are handled by strictification, so is a viscosity subsolution.
The supersolution inequality. Let have a strict local minimum at with . By [F1] there is a minimiser of ; put , so that . For put , so that and . The dynamic-programming identity at with the competitor gives , hence . The contact inequality at the local minimum gives ; combining, . Dividing by and letting along gives , and since by [F3], we get . Hence is a viscosity supersolution, and with step 1.2 it is a viscosity solution of .
The initial trace. For and every , and , and the latter supremum tends to by the bounded-modulus estimate in step 1.1; hence , which is the stated locally uniform (indeed uniform) attainment of the initial datum.
Uniqueness and the semigroup. Any bounded uniformly continuous viscosity solution of the Cauchy problem with datum is comparable with by [F5], in both orders, because both are bounded uniformly continuous and have the same continuous initial trace; hence is the unique such solution. Property (4) is [F2].
Depends on
- The Hopf--Lax operator and the Hopf--Lax formula
- Finiteness, superlinearity of the Lagrangian and localisation of Hopf--Lax near-minimisers
- The Hopf--Lax operators form a semigroup (dynamic programming)
- A finite-valued convex Hamiltonian equals its biconjugate
- The Hopf--Lax operator preserves a modulus of continuity
- The Hopf--Lax operator is a contraction in the supremum norm
- Viscosity subsolutions and supersolutions of a first-order equation and of the Cauchy problem
- Uniform continuity of a map of metric spaces: one $\delta$ serving every point
- Comparison for autonomous convex superlinear Hamiltonians
Used by
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Sources
- Hung Vinh Tran, Hamilton--Jacobi Equations: Theory and Applications, 2020 preliminary author manuscript of AMS Graduate Studies in Mathematics 213 (complete text) (standard reference, not scraped)
- Alberto Bressan, Viscosity Solutions of Hamilton--Jacobi Equations and Optimal Control Problems, complete author lecture notes, Penn State University (PDF records Fall 2019 revision) (standard reference, not scraped)