SIAM Journal on Control and Optimization, Vol.34, No.2, 554-571, 1996
A New Formulation of State Constraint Problems for First-Order PDEs
The first-order Hamilton-Jacobi-Bellman equation associated with the state constraint problem for optimal control is studied. Instead of the boundary condition which Soner introduced, a new and appropriate boundary condition for the PDE is proposed. The uniqueness and Lipschitz continuity of viscosity solutions for the boundary value problem are obtained.
Keywords:HAMILTON-JACOBI EQUATIONS;PARTIAL-DIFFERENTIAL EQUATIONS;OBLIQUE DERIVATIVE PROBLEMS;BOUNDARY-CONDITIONS