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

William Sandholm, Hung V. Tran () and Srinivas Arigapudi ()
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Hung V. Tran: Department of Mathematics, University of Wisconsin, Madison, Wisconsin 53706
Srinivas Arigapudi: Department of Economics, University of Wisconsin, Madison, Wisconsin 53706

Mathematics of Operations Research, 2022, vol. 47, issue 1, 72-99

Abstract: We characterize solutions of a class of time-homogeneous optimal control problems with semilinear running costs and state constraints as maximal viscosity subsolutions 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.

Keywords: Primary: 49L12; 60J20; 91B70; Hamilton-Jacobi equations; optimal control; large deviations; evolutionary game theory (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormoor:v:47:y:2022:i:1:p:72-99

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