Set Valued Hamilton-Jacobi-Bellman Equations

Abstract: Building upon the dynamic programming principle for set valued functions arising from many applications, in this paper we propose a new notion of set valued PDEs. The key component in the theory is a set valued It^{o} formula, characterizing the flows on the surface of the dynamic sets. In the contexts of multivariate control problems, we establish the wellposedness of the set valued HJB equations, which extends the standard HJB equations in the scalar case to the multivariate case. As an application, a moving scalarization for certain time inconsistent problems is constructed by using the classical solution of the set valued HJB equation.