On viscosity solution of Hamilton-Jacobi-Belman equations
نویسندگان
چکیده
منابع مشابه
On Viscosity Solutions of Hamilton-jacobi Equations
We consider the Dirichlet problem for Hamilton-Jacobi equations and prove existence, uniqueness and continuous dependence on boundary data of Lipschitz continuous maximal viscosity solutions.
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Problems involving Hamilton-Jacobi equations-which we take to be either of the stationary form H(x, u, Du) = 0 or of the evolution form u, + H(x, t, u, Du) = 0, where Du is the spatial gradient of u-arise in many contexts. Classical analysis of associated problems under boundary and/or initial conditions by the method of characteristics is limited to local considerations owing to the crossing o...
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We define viscosity solutions for the Hamilton–Jacobi equation φt = v(x, t)H(∇φ) in RN × (0,∞) where v is positive and bounded measurable and H is non-negative and Lipschitz continuous. Under certain assumptions, we establish the existence and uniqueness of Lipschitz continuous viscosity solutions. The uniqueness result holds in particular for those v which are independent of t and piecewise co...
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We present a new method for the numerical solution of the Hamilton Jacobi Bellman PDE that arises in an infinite time optimal control problem. The method can be of higher order to reduce ”the curse of dimensionality”. It proceeds in two stages. First the HJB PDE is solved in a neighborhod of the origin using the power series method of Al’brecht. From a boundary point of this neighborhood, an ex...
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ژورنال
عنوان ژورنال: Malaya Journal of Matematik
سال: 2019
ISSN: 2319-3786,2321-5666
DOI: 10.26637/mjm0701/0009