Optimal rate of convergence in the vanishing viscosity for quadratic Hamilton-Jacobi equations

TL;DR

This paper establishes an optimal convergence rate of O(ε log ε) for vanishing viscosity approximations of quadratic Hamilton-Jacobi equations, improving previous bounds and employing advanced regularization and entropy techniques.

Contribution

It proves the optimal convergence rate of O(ε log ε) for quadratic Hamilton-Jacobi equations, refining prior estimates and demonstrating the rate's sharpness with an example.

Findings

Convergence rate of O(ε log ε) is optimal.

Previous rate of O(√ε) is suboptimal.

Method combines sup-convolution regularization with entropy estimates.

Abstract

The purpose of this note is to provide an optimal rate of convergence in the vanishing viscosity regime for first-order Hamilton-Jacobi equations with purely quadratic Hamiltonian. We show that for a globally Lipschitz-continuous terminal condition the rate is of order O($\epsilon$ log $\epsilon$), and we provide an example to show that this rate cannot be sharpened. This improves on the previously known rate of convergence O( $\sqrt$ $\epsilon$), which was widely believed to be optimal. Our proof combines techniques involving regularization by sup-convolution with entropy estimates for the flow of a suitable version of the adjoint linearized equation. The key technical point is an integrated estimate of the Laplacian of the solution against this flow. Moreover, we exploit the semiconcavity generated by the equation.