Path-dependent Hamilton--Jacobi equations: Uniqueness results for viscosity solutions defined via families of compact sets

TL;DR

This paper proves new uniqueness results for viscosity solutions of path-dependent Hamilton--Jacobi equations, relaxing assumptions on the Hamiltonian and expanding the class of solutions considered.

Contribution

It introduces novel techniques for establishing uniqueness of viscosity solutions in a path-dependent setting with less restrictive conditions.

Findings

Uniqueness holds under sublinear growth conditions in the gradient variable.

Uniqueness also holds without growth conditions if solutions satisfy a local Lipschitz condition.

A new penalty functional is used to construct coinvariantly smooth test functionals.

Abstract

We consider a path-dependent Hamilton--Jacobi equation with coinvariant derivatives over the space of continuous functions. We prove two uniqueness results for viscosity (generalized) solutions defined in terms of coinvariantly smooth test functionals and a dense family of compact subsets of the space of continuous functions. It is assumed that the Hamiltonian is continuous and satisfies a local Lipschitz condition in the functional variable with respect to the supremum norm. When the Lipschitz constant satisfies a sublinear growth condition in the gradient (impulse) variable, uniqueness is established in the class of continuous viscosity solutions. In the general case, without any such growth conditions, uniqueness is established in the class of continuous viscosity solutions that satisfy an additional local Lipschitz condition. The proofs are based on the standard method of doubling variables, but use a novel penalty functional for constructing coinvariantly smooth test functionals. The obtained results generalize previously known ones by relaxing the assumptions on the Hamiltonian and/or enlarging the class of functionals in which uniqueness is established.