Unbounded Hamilton-Jacobi-Bellman Equations with one co-dimensional discontinuities

Abstract

The aim of this work is to deal with a discontinuous Hamilton-Jacobi equation in the whole euclidian N-dimensional space, associated to a possibly unbounded optimal control problem. Here, the discontinuities are located on a hyperplane and the typical questions we address concern the existence and uniqueness of solutions, and of course the definition itself of solution. We consider viscosity solutions in the sense of Ishii. The convex Hamiltonians are associated to a control problem with specific cost and dynamics given on each side of the hyperplane. We assume that those are Lipschitz continuous but the main difficulty we deal with is that they are potentially unbounded, as well as the control spaces. Using Bellman's approach we construct two value functions which turn out to be the minimal and maximal solutions in the sense of Ishii. Moreover, we also build a whole family of value functions, which are still solutions in the sense of Ishii and connect continuously the minimal solution to the maximal one.