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On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints

Naoyuki Ishimura and Daniel Sevcovic

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Abstract: The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati transformation we derive and analyze a fully nonlinear parabolic partial differential equation for the optimal response function. We construct monotone traveling wave solutions and identify parametric regions for which the traveling wave solution has a positive or negative wave speed.

Date: 2011-08, Revised 2012-05
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Handle: RePEc:arx:papers:1108.1035