Discontinuous Mayer control problem under state-constraints

It is investigated the Mayer Problem \[ \text{minimize } g(x(T)) \tag{1} \] over solutions of the differential inclusion \[ x'(t)\in F(x(t)) \text{ for almost every } t\in [t_{0},T], \quad x(t_{0})=x_{0}, \tag{2} \] satisfying state constraints \[ x(t)\in K \text{ for all } t\in [t_{0},T], \tag{3} \] where \(g:R^{n}\to R_{+}, T\geq t_{0}\geq 0, K\) is a nonempty closed subset of \(R^{n}\) and \(F:R^{n}\mapsto R^{n}\) is a set-valued map. The value function corresponding to the optimal control problem (1) - (3) is given by \[ V_{g}^{K}(t_{0},x_{0})=\inf g(x(T)), \] where the infimum is taken over all solutions of the differential inclusion (2) satisfying (3). Theorem. Let the function \(g\) be bounded and \(F\) be a Lipschitz continuous map with convex values and linear growth. Then the value function \(V_{g}^{K},\) where \(K=R^{n},\) is the unique generalised solution to the Hamilton-Jacobi-Bellmann equation.

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