Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 5 / 1 / 3 / d / Solution

The tangent-line inequality for a differentiable concave function is $f(r)\le f(s)+f^{\prime }(s)(r-s)$. Taking $r=u=U_x$ and using the Hamilton-Jacobi equation yieldsAlong $x(\tau )=x_0+\tau f^{\prime }(s)$, the chain rule identifies the left side with $dU(\tau ,x(\tau ))/d\tau$. Integrating givesStrict concavity makes equality possible exactly when $u=s$ along the line, which will select the maximizing characteristic curve.