A Sublinear Variance Bound for Solutions of a Random Hamilton-Jacobi Equation
Publication
, Journal Article
Matic, I; Nolen, J
Published in: Journal of Statistical Physics
2012
We estimate the variance of the value function for a random optimal control problem. The value function is the solution w ε of a Hamilton-Jacobi equation with random Hamiltonian H(p, x, ω)=K(p)-V(x/ε, ω) in dimension d ≥ 2. It is known that homogenization occurs as ε → 0, but little is known about the statistical fluctuations of w ε. Our main result shows that the variance of the solution w ε is bounded by O(ε/{pipe}log ε {pipe}). The proof relies on a modified Poincaré inequality of Talagrand. © 2012 Springer Science+Business Media, LLC.
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Published In
Journal of Statistical Physics
DOI
ISSN
0022-4715
Publication Date
2012
Volume
149
Issue
2
Start / End Page
342 / 361
Related Subject Headings
- Fluids & Plasmas
- 51 Physical sciences
- 49 Mathematical sciences
- 02 Physical Sciences
- 01 Mathematical Sciences
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Matic, I., & Nolen, J. (2012). A Sublinear Variance Bound for Solutions of a Random Hamilton-Jacobi Equation. Journal of Statistical Physics, 149(2), 342–361. https://doi.org/10.1007/s10955-012-0590-y
Matic, I., and J. Nolen. “A Sublinear Variance Bound for Solutions of a Random Hamilton-Jacobi Equation.” Journal of Statistical Physics 149, no. 2 (2012): 342–61. https://doi.org/10.1007/s10955-012-0590-y.
Matic I, Nolen J. A Sublinear Variance Bound for Solutions of a Random Hamilton-Jacobi Equation. Journal of Statistical Physics. 2012;149(2):342–61.
Matic, I., and J. Nolen. “A Sublinear Variance Bound for Solutions of a Random Hamilton-Jacobi Equation.” Journal of Statistical Physics, vol. 149, no. 2, 2012, pp. 342–61. Scival, doi:10.1007/s10955-012-0590-y.
Matic I, Nolen J. A Sublinear Variance Bound for Solutions of a Random Hamilton-Jacobi Equation. Journal of Statistical Physics. 2012;149(2):342–361.
Published In
Journal of Statistical Physics
DOI
ISSN
0022-4715
Publication Date
2012
Volume
149
Issue
2
Start / End Page
342 / 361
Related Subject Headings
- Fluids & Plasmas
- 51 Physical sciences
- 49 Mathematical sciences
- 02 Physical Sciences
- 01 Mathematical Sciences