Hamilton-Jacobi Equations with Semilinear Costs and State Constraints, with Applications to Large Deviations in Games
Published Online:28 May 2021https://doi.org/10.1287/moor.2020.1114
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.
