Representation of Weak Solutions of Convex Hamilton-Jacobi-Bellman Equations on Infinite Horizon

Abstract

In the present paper, it is provided a representation result for the weak solutions of a class of evolutionary Hamilton-Jacobi-Bellman equations on infinite horizon, with Hamiltonians measurable in time and fiber convex. Such Hamiltonians are associated with a - faithful - representation, namely involving two functions measurable in time and locally Lipschitz in the state and control. Our results concern the recovering of a representation of convex Hamiltonians under a relaxed assumption on the Fenchel transform of the Hamiltonian with respect to the fiber. We apply them to investigate the uniqueness of weak solutions, vanishing at infinity, of a class of time-dependent Hamilton-Jacobi-Bellman equations. Assuming a viability condition on the domain of the aforementioned Fenchel transform, these weak solutions are regarded as an appropriate value function of an infinite horizon control problem under state constraints.