Optimality and characteristics of Hamilton-Jacobi-Bellman equations (Q4028853)

An optimal control problem of the Bolza type is investigated. The authors ask when the necessary conditions for optimality of Pontryagin's type are also sufficient. This leads to the question when shocks do not occur in the method of characteristics applied to the associated Hamilton-Jacobi- Bellman equation. It was proved earlier by \textit{G. Byrnes} and the second author [C. R. Acad. Sci., Paris, Ser. I 315, No. 4, 427-431 (1992; Zbl 0777.49021)] that the shocks do not occur if a certain matrix Riccati equation admits a solution. In this paper, the authors give sufficient conditions for global solvability of the Riccati equation, the latter being next reduced to a much singular form to study: \(S'+ S^ 2+D(t)=0\). For the entire collection see [Zbl 0752.00054].