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Minimax and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Time-Delay Systems

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  • Anton Plaksin

    (Ural Federal University)

Abstract

The paper deals with a Bolza optimal control problem for a dynamical system, whose motion is described by a delay differential equation under an initial condition defined by a piecewise continuous function. For the value functional in this problem, the Cauchy problem for the Hamilton–Jacobi–Bellman equation with coinvariant derivatives is considered. Minimax and viscosity solutions of the Cauchy problem are studied. It is proved that both of these solutions exist, are unique, and coincide with the value functional.

Suggested Citation

  • Anton Plaksin, 2020. "Minimax and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Time-Delay Systems," Journal of Optimization Theory and Applications, Springer, vol. 187(1), pages 22-42, October.
    • Handle: RePEc:spr:joptap:v:187:y:2020:i:1:d:10.1007_s10957-020-01742-6
    DOI: 10.1007/s10957-020-01742-6
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    References listed on IDEAS

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    1. Bruno Dupire, 2019. "Functional Itô calculus," Quantitative Finance, Taylor & Francis Journals, vol. 19(5), pages 721-729, May.
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