State-Dependent Delays in Optimal Control and Hamilton--Jacobi Equations

Abstract

We develop a Hamilton--Jacobi theory for finite-horizon optimal control problems governed by state-dependent delay equations. In this setting, the delayed-time map depends on the controlled trajectory itself, so that both the state and the point at which the past state is evaluated vary simultaneously. The natural state variable is therefore the entire history, and the value functional is defined on a space of Lipschitz histories. Under suitable growth, Lipschitz, and monotonicity assumptions, we establish the dynamic programming principle and characterize the value functional as the unique viscosity solution of the associated Hamilton--Jacobi equation with co-invariant derivatives. To accommodate Lipschitz histories, we introduce a notion of viscosity solution based on finite-dimensional projections generated by polygonal extensions, and prove a comparison principle in the resulting class of functionals. Under additional regularity assumptions, we derive a Pontryagin minimum principle whose adjoint equation contains advanced terms induced by the state dependence of the delay. We also obtain a generalized transversality relation formulated through the delay superdifferential of the value functional. Finally, we establish semiconcavity in the history variable and a joint semiconcavity estimate on an appropriate solution manifold.