Multi-objective Herglotz' variational principle and cooperative Hamilton-Jacobi systems

Abstract

We study a multi-objective variational problem of Herglotz' type with cooperative linear coupling. We established the associated Euler-Lagrange equations and the characteristic system for cooperative weakly coupled systems of Hamilton-Jacobi equations. We also established the relation of the value functions of this variational problem with the viscosity solutions of cooperative weakly coupled systems of Hamilton-Jacobi equations. Comparing to the previous work in stochastic frame, this approach affords a pure deterministic explanation of this problem under more general conditions. We also showed this approach is valid for general linearly coupling matrix for short time.