Hamilton-Jacobi Equations with Semilinear Costs and State Constraints, with Applications to Large Deviations in Games

• 成果类型: Article
• 署名作者: Sandholm, William H.; Tran, Hung, V; Arigapudi, Srinivas
• 署名单位: University of Wisconsin System; University of Wisconsin Madison; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2020.1114
• 发表日期: 2022
• 页码: 72-99
• 关键词: equilibria

摘要

We characterize solutions of a class of time-homogeneous optimal control problems with semilinear running costs and state constraints as maximal viscosity sub-solutions to Hamilton-Jacobi equations and show that optimal solutions to these problems can be constructed explicitly. We present applications to large deviations problems arising in evolutionary game theory.