Date of Award
1998
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
Department
Mathematics
First Advisor
Guillermo Ferreyra
Abstract
Infinite horizon singular optimal control problems with control taking values in a closed cone U in Rn lead to a dynamic programming equation of the form: maxF2x,v, v',v'' ,F1x,v,v' =0, forall x∈Q, where Q , the state space of the control problem, is some nonempty connected open subset of Rn , and F1, F2 are continuous real-valued functions on QxR2 and QxR3 respectively, with the coercivity assumption for F 2, that is, the function r&rarrr;F2x,u,p,r is nonincreasing on R . A major concern is to determine how smooth the value function v is across the free boundary of the problem. Linear-convex deterministic and stochastic singular control problems in dimension one are considered. We present the analysis of the above equation together with smoothness of the value function across the free boundary. The interest here is the explicitness of the results and the fact that the smooth fit principle depends on the parameters of the control problem. In particular, the value function for the stochastic control problem is founded explicitly, and at the same time, optimal controls are identified using a verification theorem.
Recommended Citation
Pascal, Jesus Alberto, "On the Value Functions of Some Singular Optimal Control Problems." (1998). LSU Historical Dissertations and Theses. 6856.
https://repository.lsu.edu/gradschool_disstheses/6856
ISBN
9780599213104
Pages
95
DOI
10.31390/gradschool_disstheses.6856