Static class-guided selection of elementary solutions in non-monotone vanishing discount problems
Panrui Ni, Jun Yan, Maxime Zavidovique

TL;DR
This paper introduces a novel method for selecting multiple solutions in non-monotone vanishing discount problems for Hamilton-Jacobi equations by leveraging static classes and class-guided coefficients, extending beyond traditional monotonicity assumptions.
Contribution
It presents the first approach to select multiple viscosity solutions in non-monotone vanishing discount problems using static class-guided coefficients, removing the need for monotonicity.
Findings
Uniform convergence of maximal viscosity solutions as discount vanishes.
All elementary solutions of the stationary Hamilton-Jacobi equation can be obtained as limits.
Static classes play a key role in controlling the asymptotic behavior of solutions.
Abstract
We study a generalized vanishing discount problem for Hamilton--Jacobi equations, removing the standard monotonicity assumption, either in a global sense or when integrated against all Mather measures. Specifically, we consider \[ \lambda a(x)u(x)+H(x,Du(x))-A\lambda=c_0, \] with a suitably chosen constant . By appropriately changing the signs of the function on different static classes associated with , we show that the maximal viscosity solution converges uniformly as and that all elementary solutions of the stationary equation \[ H(x,Du(x))=c_0 \] can be selected as limits. This provides the first result for selecting multiple viscosity solutions in vanishing discount problems beyond the usual monotonicity and integral assumptions, as long as is positive on one static class. Our results highlight the crucial role of static classes in controlling…
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Taxonomy
TopicsOptimization and Variational Analysis · Stochastic processes and financial applications · Advanced Optimization Algorithms Research
