Reduction of lower semicontinuous solutions of Hamilton-Jacobi-Bellman equations

TL;DR

This paper investigates lower semicontinuous solutions of Hamilton-Jacobi equations with convex Hamiltonians, providing reduction techniques and new theorems for existence and uniqueness in optimal control contexts.

Contribution

It introduces a necessary and sufficient condition for reducing Hamiltonians to positively homogeneous forms, simplifying the analysis of solutions.

Findings

Reduction criterion for Hamiltonians satisfying optimality conditions

New existence theorems for non-reducible Hamiltonians

Uniqueness results extending Barron-Jensen and Frankowska theorems

Abstract

This article is devoted to the study of lower semicontinuous solutions of Hamilton-Jacobi equations with convex Hamiltonians in a gradient variable. Such Hamiltonians appear in the optimal control theory. We present a necessary and sufficient condition for a reduction of a Hamiltonian satisfying optimality conditions to the case when the Hamiltonian is positively homogeneous and also satisfies optimality conditions. It allows us to reduce some uniqueness problems of lower semicontinuous solutions to Barron-Jensen and Frankowska theorems. For Hamiltonians, which cannot be reduced in that way, we prove the new existence and uniqueness theorems.