Semicontinuous Viscosity Solutions For Hamilton–Jacobi Equations With Convex Hamiltonians

Abstract

Motivated by various Hamilton–Jacobi–Bellman equations arising in deteministic optimal control we will modify the concept of viscosity solution introduced by Crandall and Lions for convex (or concave) hamiltonians and semicontinuous solutions. We will see that we can dispense with the Crandall–Lions requirement that we touch the solution by test functions from both above and below and require only touching from one side, Which side depends on whether the solution is upper or lower semicontinuous and the hamiltonian is concave. The advantage of testing from only one side is that Semicontinuous solutions can only be touched from one side. It is shown that this is sufficient to characterize the solution.