Scandinavian Working Papers in Economics

Memorandum,
Oslo University, Department of Economics

No 07/2008: Existence of Optimal Nonanticipating Controls in Piecewise Deterministic Control Problems

Atle Seierstad ()
Additional contact information
Atle Seierstad: Dept. of Economics, University of Oslo, Postal: Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway

Abstract: 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: Optimal controls; terminal restrictions

JEL-codes: A00

37 pages, March 1, 2008

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