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OALib Journal期刊
ISSN: 2333-9721
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Averaging of Hamilton-Jacobi equation in infinite dimensions and application

Keywords: infinite dimensions,averaging of HJB equation,viscosity solution,optimal control problem,value function

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Abstract:

The averaging of Hamilton-Jacobi equation with fast variables in viscosity solution sense in infinite dimensions is studied. It is proved that viscosity solution of the original equation converges to viscosity solution of the averaged equation and this result is applied to study the limit problem of the value function for optimal control problem with fast variables.

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