Weakening state constraints in optimal control problems (Q6049027)

The author considers and compares two optimal control problems. Problem (P): \begin{align*} &J(T,x(\cdot))=\varphi(T,x(0),x(T))+\int_0^T\lambda(x(t))\delta_M(x(t))\,dt\rightarrow\,\min,\\ &\dot x(t)\in F(x(t));\qquad x(0)\in M_0,\ x(T)\in M_1, \end{align*} Problem (Q): \begin{align*} &\tilde J(T,x(\cdot))=\varphi(T,x(0),x(T))\rightarrow\,\min,\\ &\dot x(t)\in F(x(t)),\ x(t)\in G,\ t\in [0,T];\qquad x(0)\in M_0,\ x(T)\in M_1. \end{align*} The main difference of Problem (P) from Problem (Q) is the weakening of the strict risk aversion condition \(x(t)\in G\). This circumstance makes the statement of Problem (P) more suitable for many applications. Conditions are obtained that guarantee the equivalence of both problems.