Optimal control of diffusions (Q1401587)

The paper considers time optimal or \(L_1\)-norm (with respect to the state) optimal control problems for a linear parabolic equation with right-hand side as a measure valued control which drives the initial state to a prescribed target state. Necessary and sufficient conditions for optimality in the form of the maximum principle are derived. It is shown that if the coefficients of the equation are analytical then for the Dirichlet problem the support of the optimal control has Lebesgue measure zero.