The value function is presented by minimisation of a cost functional over admissible controls. The associated first order Bellman equations with varying control are treated. It turns out that the value function is a viscosity solution of the Bellman equation and the comparison principle holds, which is an essential tool in obtaining the uniqueness of the viscosity solutions.
|Number of pages||12|
|Journal||Bulletin of the Australian Mathematical Society|
|Publication status||Published - 1996 Feb 1|
ASJC Scopus subject areas