Existence of optimal nonanticipating controls in piecewise deterministic control problems
University of Oslo, Department of Economics,
Revised: 28 January 2011
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.
Mathematics Subject Classification: 93E20
Key words: Piecewise deterministic problems / optimal controls / existence
© EDP Sciences, SMAI, 2012