Optimal Control with State-Space Constraint. II
- 1 November 1986
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 24 (6) , 1110-1122
Abstract
Optimal control of piecewise deterministic processes with state space constraint is studied. Under appropriate assumptions, it is shown that the optimal value function is the only viscosity solution on the open domain which is also a supersolution on the closed domain. Finally, the uniform continuity of the value function is obtained under a condition on the deterministic drift.Keywords
This publication has 11 references indexed in Scilit:
- Optimal Control with State-Space Constraint ISIAM Journal on Control and Optimization, 1986
- Optimal control of a one-dimensional storage processApplied Mathematics & Optimization, 1985
- Optimal control of piecewise deterministic markov processStochastics, 1985
- Optimal control and viscosity solutions1985
- Developments in the Theory of Nonlinear First-Order Partial Differential EquationsNorth-Holland Mathematics Studies, 1984
- Some properties of viscosity solutions of Hamilton-Jacobi equationsTransactions of the American Mathematical Society, 1984
- Viscosity solutions of Hamilton-Jacobi equationsTransactions of the American Mathematical Society, 1983
- Optimal Consumption and Exploration of Nonrenewable Resources under UncertaintyEconometrica, 1980
- On a functional differential equation that arises in a Markov control problemJournal of Differential Equations, 1978
- Deterministic and Stochastic Optimal Control1975