Probabilistic large deviations approach to obstacle Hamilton-Jacobi equations

Source abstract

In this paper, we derive a non-classical variational representation of a viscosity solution of a Hamilton-Jacobi equation with obstacle, in which the Hamiltonian may take infinite values. We study a nonlinear selection-mutation model with an exponential-decay mutation kernel, using a probabilistic Feynman-Kac representation of a pure jump process. To handle the singular character of this process, we rely on a non-standard tool from large deviations theory, which allows us to establish a Varadhan-type lemma. This, in turn, yields the variational representation of the viscosity solution.