We study a Hamilton-Jacobi equation in infinite dimensions arising in optimal control theory for problems involving both exit times and state-space constraints. The corresponding boundary conditions for the Hamilton-Jacobi equation, of mixed nature, have been derived and investigated in , , , and  in the finite-dimensional case. We obtain a uniqueness result for viscosity solutions of such a problem and then prove the existence of a solution by showing that the value function is continuous.
All Science Journal Classification (ASJC) codes
- Control and Optimization
- Applied Mathematics