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Existence of optimal nonanticipating controls in piecewisedeterministic 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. [email protected]
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Abstract

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

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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