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Existence of optimal nonanticipating controls in piecewise deterministic control problems

Published online by Cambridge University Press:  18 January 2012

Atle Seierstad
Atle Seierstad*
Affiliation:
University of Oslo, Department of Economics, Box 1095 Blindern, 0317 Oslo, Norway. atle.seierstad@econ.uio.no
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Abstract

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.

Keywords

Piecewise deterministic problemsoptimal controlsexistence
Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 19 , Issue 1 , January 2013 , pp. 43 - 62
Copyright
© EDP Sciences, SMAI, 2012

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