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In the paper we investigate the regularity of the value function representing Hamilton–Jacobi equation: −
+ ( −
) = 0 with a final condition: () = (). Hamilton–Jacobi equation, in which the Hamiltonian depends on the value of solution , is represented by the value function with more complicated structure than the value function in Bolza problem. This function is described with the use of some class of Mayer problems related to the optimal control theory and the...
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