Optimal Control and Viscosity Solutions of Hamilton-Jacobi-Bellman Equations

The purpose of the present book is to offer an up-to-date account of the theory of viscosity solutions of first order partial differential equations of Hamilton-Jacobi type and its applications to optimal deterministic control and differential games. The theory of viscosity solutions, initiated in the early 80’s by the papers of M.G. Crandall and P.L. Lions [CL81, CL83], M.G. Crandall, L.C. Evans and P.L. Lions [CEL84] and P.L. Lions’ influential monograph [L82], provides an – tremely convenient PDE framework for dealing with the lack of smoothness of the value functions arising in dynamic optimization problems. The leading theme of this book is a description of the implementation of the viscosity solutions approach to a number of significant model problems in op- real deterministic control and differential games. We have tried to emphasize the advantages offered by this approach in establishing the well-posedness of the c- responding Hamilton-Jacobi equations and to point out its role (when combined with various techniques from optimal control theory and nonsmooth analysis) in the important issue of feedback synthesis.