Stochastic homogenization of Hamilton--Jacobi--Bellman equations on continuum percolation clusters
Authors
- Bazaes, Rodrigo
ORCID: 0000-0002-5588-6123 - Mielke, Alexander
ORCID: 0000-0002-4583-3888 - Mukherjee, Chiranjib
2020 Mathematics Subject Classification
- 35F21 35B27 49L25 60F10 78A48 82B43
Keywords
- Hamilton--Jacobi--Bellman equations, stochastic homogenization, continuum percolation, convex variational analysis, entropy, min-max theorems
DOI
Abstract
We prove homogenization properties of random Hamilton--Jacobi--Bellman (HJB) equations on continuum percolation clusters, almost surely w.r.t. the law of the environment when the origin belongs to the unbounded component in the continuum. Here, the viscosity term carries a degenerate matrix, the Hamiltonian is convex and coercive w.r.t. the degenerate matrix and the underlying environment is non-elliptic and its law is non-stationary w.r.t. the translation group. We do not assume uniform ellipticity inside the percolation cluster, nor any finite-range dependence (i.i.d.) assumption on the percolation models and the effective Hamiltonian admits a variational formula which reflects some key properties of percolation. The proof is inspired by a method of Kosygina--Rezakhanlou--Varadhan developed for the case of HJB equations with constant viscosity and uniformly coercive Hamiltonian in a stationary, ergodic and elliptic random environment. In the non-stationary and non-elliptic set up, we leverage the coercivity property of the underlying Hamiltonian as well as a relative entropy structure (both being intrinsic properties of HJB, in any framework) and make use of the random geometry of continuum percolation.
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