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Existence of optimal nonanticipating controls in piecewise deterministic control problems. (English) Zbl 1258.93128
Summary: 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.

MSC:
93E20 Optimal stochastic control
49J55 Existence of optimal solutions to problems involving randomness
93E15 Stochastic stability in control theory
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