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dc.contributor.authorGassiat, Paul*
dc.contributor.authorGess, Benjamin*
dc.contributor.authorLions, Pierre-Louis*
dc.contributor.authorSouganidis, Panagiotis E.*
dc.date.accessioned2019-02-25T10:35:39Z
dc.date.available2019-02-25T10:35:39Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/18482
dc.language.isoenen
dc.subjectHamilton-Jacobi equationsen
dc.subjectconvex Hamiltoniansen
dc.subject.ddc519en
dc.titleSpeed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltoniansen
dc.typeDocument de travail / Working paper
dc.description.abstractenWe show that the initial value problem for Hamilton-Jacobi equations with multiplicative rough time dependence, typically stochastic, and convex Hamiltonians satisfies finite speed of propagation. We prove that in general the range of dependence is bounded by a multiple of the length of the "skeleton" of the path, that is a piecewise linear path obtained by connecting the successive extrema of the original one. When the driving path is a Brownian motion, we prove that its skeleton has almost surely finite length. We also discuss the optimality of the estimate.en
dc.identifier.citationpages21en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01936387en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-11
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2019-02-25T10:10:56Z
hal.person.labIds60*
hal.person.labIds47652*
hal.person.labIds4262$$$60*
hal.person.labIds5569*


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