Semiconcavity for optimal control problems with exit time
Piermarco Cannarsa - Dipartimento di Matematica, Università degli Studi di Roma "Tor Vergata", Via della Ricerca Scientifica, 00133 Roma, Italy (email)
Abstract: In this paper a semiconcavity result is obtained for the value function of an optimal exit time problem. The related state equation is of general form
$\dot y(t)=f(y(t),u(t))$, $y(t)\in\mathbb R^n$, $u(t)\in U\subset \mathbb R^m$.
However, suitable assumptions are needed relating $f$
with the running and exit costs.
Keywords: Optimal control problems, exit time problems, dynamic programming, optimality conditions, semiconcavity.
Received: February 2000; Revised: July 2000; Published: August 2000.
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