A two-person zero-sum differential game with unbounded controls is considered. Under proper coercivity conditions, the upper and lower value functions are characterized as the unique viscosity solutions to the corresponding upper and lower Hamilton-Jacobi-Isaacs equations, respectively. Consequently, when the Isaacs' condition is satisfied, the upper and lower value functions coincide, leading to the existence of the value function of the differential game. Due to the unboundedness of the controls, the corresponding upper and lower Hamiltonians grow super linearly in the gradient of the upper and lower value functions, respectively. A uniqueness theorem of viscosity solution to Hamilton-Jacobi equations involving such kind of Hamiltonian is proved, without relying on the convexity/concavity of the Hamiltonian. Also, it is shown that the assumed coercivity conditions guaranteeing the finiteness of the upper and lower value functions are sharp in some sense.

Keywords: two-person zero-sum differential games, unbounded control, Hamilton-Jacobi equation, viscosity solution

@article{COCV_2013__19_2_404_0, author = {Qiu, Hong and Yong, Jiongmin}, title = {Hamilton-Jacobi equations and two-person zero-sum differential games with unbounded controls}, journal = {ESAIM: Control, Optimisation and Calculus of Variations}, pages = {404--437}, publisher = {EDP-Sciences}, volume = {19}, number = {2}, year = {2013}, doi = {10.1051/cocv/2012015}, mrnumber = {3049717}, zbl = {1263.49024}, language = {en}, url = {http://archive.numdam.org/articles/10.1051/cocv/2012015/} }

TY - JOUR AU - Qiu, Hong AU - Yong, Jiongmin TI - Hamilton-Jacobi equations and two-person zero-sum differential games with unbounded controls JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2013 SP - 404 EP - 437 VL - 19 IS - 2 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/cocv/2012015/ DO - 10.1051/cocv/2012015 LA - en ID - COCV_2013__19_2_404_0 ER -

%0 Journal Article %A Qiu, Hong %A Yong, Jiongmin %T Hamilton-Jacobi equations and two-person zero-sum differential games with unbounded controls %J ESAIM: Control, Optimisation and Calculus of Variations %D 2013 %P 404-437 %V 19 %N 2 %I EDP-Sciences %U http://archive.numdam.org/articles/10.1051/cocv/2012015/ %R 10.1051/cocv/2012015 %G en %F COCV_2013__19_2_404_0

Qiu, Hong; Yong, Jiongmin. Hamilton-Jacobi equations and two-person zero-sum differential games with unbounded controls. ESAIM: Control, Optimisation and Calculus of Variations, Volume 19 (2013) no. 2, pp. 404-437. doi : 10.1051/cocv/2012015. http://archive.numdam.org/articles/10.1051/cocv/2012015/

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