Comparison Principle for Hamilton-Jacobi-Bellman Equations via a Bootstrapping Procedure
| Autor: | Mikola C. Schlottke, Richard C. Kraaij |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Comparison principle
Context (language use) Computer Science::Digital Libraries 01 natural sciences Hamilton–Jacobi equation 010104 statistics & probability Mathematics - Analysis of PDEs Bellman equation FOS: Mathematics Applied mathematics Boundary value problem 0101 mathematics Mathematics - Optimization and Control Mathematics Applied Mathematics 010102 general mathematics Infimum and supremum Hamilton–Jacobi–Bellman equations Optimal control theory Optimization and Control (math.OC) Viscosity solutions Computer Science::Mathematical Software Large deviations theory Viscosity solution 49L25 35F21 Analysis Hamiltonian (control theory) Analysis of PDEs (math.AP) |
| Zdroj: | Nonlinear Differential Equations and Applications-NoDEA, 28(2) |
| ISSN: | 1021-9722 |
| DOI: | 10.48550/arxiv.1912.06579 |
| Popis: | We study the well-posedness of Hamilton–Jacobi–Bellman equations on subsets of $${\mathbb {R}}^d$$ R d in a context without boundary conditions. The Hamiltonian is given as the supremum over two parts: an internal Hamiltonian depending on an external control variable and a cost functional penalizing the control. The key feature in this paper is that the control function can be unbounded and discontinuous. This way we can treat functionals that appear e.g. in the Donsker–Varadhan theory of large deviations for occupation-time measures. To allow for this flexibility, we assume that the internal Hamiltonian and cost functional have controlled growth, and that they satisfy an equi-continuity estimate uniformly over compact sets in the space of controls. In addition to establishing the comparison principle for the Hamilton–Jacobi–Bellman equation, we also prove existence, the viscosity solution being the value function with exponentially discounted running costs. As an application, we verify the conditions on the internal Hamiltonian and cost functional in two examples. |
| Databáze: | OpenAIRE |
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