Optimal control and semicontinuous viscosity solutions

Barron, E. N.; Jensen, R.

doi:10.1090/S0002-9939-1991-1076572-8

Optimal control and semicontinuous viscosity solutions
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by E. N. Barron and R. Jensen PDF

Proc. Amer. Math. Soc. 113 (1991), 397-402 Request permission

Abstract:

We study the value function for an optimal control problem with upper semicontinuous terminal data. We prove that the upper semicontinuous envelope of the value function is the unique semicontinuous viscosity solution of the Bellman equation and that it coincides with the value function obtained when using relaxed controls.

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