Well-posedness of a Hamilton-Jacobi-Bellman equation in the strong coupling regime

Abstract

We prove comparison principle for viscosity solutions of a Hamilton-Jacobi-Bellman equation in a strong coupling regime considering a stationary and a time-dependent version of the equation. We consider a Hamiltonian that has a representation as the supremum of a difference of two functions: an internal Hamiltonian depending on a control variable and a function interpreted as a cost of applying the controls. Our major innovation lies in the use of a cost function that can be discontinuous, unbounded and depending on momenta, enabling us to address previously unexplored scenarios such as cases arising from the theory of large deviations and homogenisation. For completeness, we also state the existence of viscosity solutions and we verify the assumptions for an example arising from biochemistry.