Minimax Solutions of Hamilton--Jacobi Equations with Fractional Coinvariant Derivatives

Abstract

We consider a Cauchy problem for a Hamilton--Jacobi equation with coinvariant derivatives of an order $\alpha \in (0,1)$. Such problems arise naturally in optimal control problems for dynamical systems which evolution is described by ordinary differential equations with the Caputo fractional derivatives of the order $\alpha$. We propose a notion of a generalized in the minimax sense solution of the considered problem. We prove that a minimax solution exists, is unique, and is consistent with a classical solution of this problem. In particular, we give a special attention to the proof of a comparison principle, which requires construction of a suitable Lyapunov--Krasovskii functional.

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