Hamilton-Jacobi-Bellman equation of nonlinear optimal control problems with fractional discount rate
arXiv:2211.11196
Abstract
This paper derives the Hamilton-Jacobi-Bellman equation of nonlinear optimal control problems for cost functions with fractional discount rate from the Bellman's principle of optimality. The fractional discount rate is described by Mittag-Leffler function that can be considered as a generalized exponential function.