Speed of propagation for Hamilton–Jacobi equations with multiplicative rough time dependence and convex Hamiltonians

Abstract

We show that the initial value problem for Hamilton–Jacobi equations with multiplicative rough time dependence, typically stochastic, and convex Hamiltonians satisfies finite speed of propagation. We prove that in general the range of dependence is bounded by a multiple of the length of the “skeleton” of the path, that is a piecewise linear path obtained by connecting the successive extrema of the original one. When the driving path is a Brownian motion, we prove that its skeleton has almost surely finite length. We also discuss the optimality of the estimate.