Viscosity Solutions of Hamilton–Jacobi Equations for Neutral-Type Systems

Abstract

The paper deals with path-dependent Hamilton–Jacobi equations with a coinvariant derivative which arise in investigations of optimal control problems and differential games for neutral-type systems in Hale’s form. A viscosity (generalized) solution of a Cauchy problem for such equations is considered. The existence, uniqueness, and consistency of the viscosity solution are proved. Equivalent definitions of the viscosity solution, including the definitions of minimax and Dini solutions, are obtained. Application of the results to an optimal control problem for neutral-type systems in Hale’s form are given. © 2023, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.