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Mathematics Research Report MRR95-006
Some Remarks On The Bellman Equations With Varying Control
Shigeaki Koike
Abstract:
The value function is presented by minimization of a cost functional over
admissible controls. The associated first-order Bellman equations with varying
control are treated. It turns out that the value function is a viscosity
solution
of the Bellman equation and the comparison principle holds, which is an
essential tool
to obtain the uniqueness of viscosity solutions.
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