Speed of propagation for Hamilton-Jacobi equations with multiplicative rough time dependence and convex Hamiltonians
We 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.
176
1-2
421-448
421-448
Springer Heidelberg