Viscosity Solutions to First Order Path-Dependent Hamilton-Jacobi-Bellman Equations in Hilbert Space

DOI10.1016/J.AUTOMATICA.2022.110347arXiv2007.04079MaRDI QIDQ6344673FDOQ6344673

Publication date: 6 July 2020

Abstract: In this article, a notion of viscosity solutions is introduced for first order path-dependent Hamilton-Jacobi-Bellman (PHJB) equations associated with optimal control problems for path-dependent evolution equations in Hilbert space. We identify the value functional of optimal control problems as unique viscosity solution to the associated PHJB equations. We also show that our notion of viscosity solutions is consistent with the corresponding notion of classical solutions, and satisfies a stability property.

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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