Some Properties of Constrained Viscosity Solutions of Hamilton–Jacobi–Bellman Equations
Paola Loreti · SIAM Journal on Control and Optimization · 1987
We consider an optimal control problem with space constraints and we show some properties of the optimal cost function. Our main result is the equality between the value functions of four optimal control problems and the constrained viscosity solution of the Hamilton–Jacobi–Bellman equation.