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Second order Hamilton–Jacobi–Bellman inequalities

✍ Scribed by Adrian Zălinescu

Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
78 KB
Volume
335
Category
Article
ISSN
1631-073X

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✦ Synopsis

This work is devoted to the study of a class of Hamilton-Jacobi-Bellman inequalities which come from an optimal control problem where the state equation is a stochastic variational inequality. We show that the value function, which minimizes the cost, is a viscosity solution of the studied equation. This approach is made by perturbing the initial problem. Then we prove the uniqueness of the inequality.

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✍ Kyung-Eung Kim 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 131 KB

This paper is devoted to the uniqueness of discontinuous solutions to the Ž . Hamilton᎐Jacobi᎐Bellman HJB equation arising in Mayer's problem under state constraints. We use two types of discontinuous solutions, bilateral solution and contingent solution, and show that they coincide with the value f