Existence of optimal nonanticipating controls in piecewise deterministic control problems

Halvor Mehlum and Karl Moene

Memo 07/2008

Last ned memo

Optimal nonanticipating controls are shown to exist in nonautonomous
piecewise deterministic control problems with hard terminal restrictions.
The assumptions needed are completely analogous to those needed to
obtain optimal controls in deterministic control problems. The proof is based
on well-known results on existence of deterministic optimal controls.
 

Published June 20, 2014 9:47 AM - Last modified Jan. 24, 2019 11:43 AM