Minmax Representation of Viscosity Solutions to Hamilton-Jacobi Equations and Applications in Rare-event Simulation

Speaker: 

Henrik Hult

Affiliation: 

Royal Institute of Technology
Department of Mathematics
SE-100 44 Stockholm
Sweden

Time: 

Wednesday, 11 February 2015, 14:30 to 15:30

Venue: 

Organisers: 

Abstract: In this talk a duality relation between the Mane's potential and Mather's action functional is derived in the context of convex and state-dependent Hamiltonians. The duality relation is used to obtain min-max representations of viscosity solutions of first order Hamilton-Jacobi equations.  These min-max representations naturally suggest classes of subsolutions of Hamilton-Jacobi equations that arise in the theory of large deviations. The subsolutions, in turn, are good candidates for designing efficient rare-event simulation algorithms. I will show some applications to financial risk management and reliability of power systems.