On nonuniqueness of solutions of Hamilton-Jacobi-Bellman equations

DOI10.1007/S00245-016-9393-XMaRDI QIDQ722078zbMATH OpenOpenAlexWikidataFDO

Authors Arkadiusz Misztela

Publication date 20 July 2018

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1505.06567

zbMATH Keywords

Hamilton-Jacobi-Bellman equationnonsmooth analysisviscosity solutionoptimal control theory

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) PDEs in connection with control and optimization (35Q93) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Abstract: An example of a nonunique solution of the Cauchy problem of Hamilton-Jacobi-Bellman (HJB) equation with surprisingly regular Hamiltonian is presented. The Hamiltonian H(t,x,p) is locally Lipschitz continuous with respect to all variables, convex in p and with linear growth with respect to p and x. The HJB equation possesses two distinct lower semicontinuous solutions with the same final conditions; moreover, one of them is the value function of the corresponding Bolza problem. The definition of lower semicontinuous solution was proposed by Barron-Jensen (1990) and Frankowska (1993). Using the example an analysis and comparison of assumptions in some uniqueness results in HJB equations is provided.

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Cited in

(8)

• Representation of Hamilton-Jacobi equation in optimal control theory with unbounded control set
• Existence and multiplicity for Hamilton-Jacobi-Bellman equation
• Reduction of lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations
• Representation of Hamilton-Jacobi equation in optimal control theory with compact control set
• scientific article; zbMATH DE number 97770 (Why is no real title available?)
• Non-uniqueness of solutions of the Hamilton-Jacobi-Bellman equation for time-average control
• On the fragility of the basis on the Hamilton-Jacobi-Bellman equation in economic dynamics
• scientific article; zbMATH DE number 2134064 (Why is no real title available?)

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