Ricerc@Sapienza

We prove a representation formula of Hopf-Lax type for solutions to Hamilton-Jacobi equation involving a Caputo time-fractional derivative. Equations of this type are associated with optimal control problems where the controlled dynamics is given by a time-changed stochastic process describing the trajectory of a particle subject to random trapping effects.

We study existence, uniqueness and regularity properties of classical solutions to viscous Hamilton–Jacobi equations with Caputo time-fractional derivative. Our study relies on a combination of a gradient bound for the time-fractional Hamilton–Jacobi equation obtained via nonlinear adjoint method and sharp estimates in Sobolev and Hölder spaces for the corresponding linear problem.