Convergence of the solutions of the discounted equation: the discrete case

Abstract

We derive a discrete version of the results of Davini et al. (Convergence of the solutions of the discounted Hamilton–Jacobi equation. Invent Math, 2016). If M is a compact metric space, \(c : M\times M \rightarrow \mathbb {R}\) a continuous cost function and \(\lambda \in (0,1)\), the unique solution to the discrete \(\lambda \)-discounted equation is the only function \(u_\lambda : M\rightarrow \mathbb {R}\) such that $$\begin{aligned} \forall x\in M, \quad u_\lambda (x) = \min _{y\in M} \lambda u_\lambda (y) + c(y,x). \end{aligned}$$ We prove that there exists a unique constant \(\alpha \in \mathbb {R}\) such that the family of \(u_\lambda +\alpha /(1-\lambda )\) is bounded as \(\lambda \rightarrow 1\) and that for this \(\alpha \), the family uniformly converges to a function \(u_0 : M\rightarrow \mathbb {R}\) which then verifies $$\begin{aligned} \forall x\in X, \quad u_0(x) = \min _{y\in X}u_0(y) + c(y,x)+\alpha . \end{aligned}$$ The proofs make use of Discrete Weak KAM theory. We also characterize \(u_0\) in terms of Peierls barrier and projected Mather measures.