Verification Theorems for Hamilton-Jacobi-Bellman equations

Abstract

We study an optimal control problem in Bolza form and we consider the value function associated to this problem. We prove two verification theorems which ensure that, if a function $W$ satisfies some suitable weak continuity assumptions and a Hamilton-Jacobi-Bellman inequality outside a countably ${\mathcal{H}}^n$-rectifiable set, then it is lower or equal to the value function. These results can be used for optimal synthesis approach.

29 pages, 3 figure