Hopf-Lax formula for variational problems with non-constant discount

Details Hopf-Lax formula for variational problems with non-constant discount Hopf-Lax formula for variational problems with non-constant discount

2009-04-14

arxiv.org/abs/0904.2090v2

Mathematics

Analysis of PDEs

12 pages; corrected typos

Scientific paper

We provide a Hop-Lax formula for variational problems with non-constant
discount and deduce a dynamic programming equation. We also study some
regularity properties of the value function.

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