Estimate for the Accuracy of a Backward Procedure for the Hamilton–Jacobi Equation in an Infinite-Horizon Optimal Control Problem

We consider an infinite-horizon optimal control problem with an integral objective functional containing a discount factor in the integrand. A specific feature of the problem is the assumption that the integrand may be unbounded. The main result of the paper is an estimate of the approximation accuracy in a backward procedure for solving the Hamilton–Jacobi equation corresponding to the optimal control problem.