Hamilton–Jacobi–Bellman Equations with Time-Measurable Data and Infinite Horizon

Abstract

In this paper we investigate the existence and uniqueness of weak solutions of the nonautonomous Hamilton–Jacobi–Bellman equation on the domain $$(0,\infty ) \times \Omega $$ . The Hamiltonian is assumed to be merely measurable in time variable and the open set $$\Omega $$ may be unbounded with nonsmooth boundary. The set $$\overline{\Omega }$$ is called here a state constraint. When state constraints arise, then classical analysis of Hamilton–Jacobi–Bellman equation lacks appropriate notion of solution because continuous solutions could not exist. In this work we propose a notion of weak solution for which, under a suitable controllability assumption, existence and uniqueness theorems are valid in the class of lower semicontinuous functions vanishing at infinity.