Infinite-horizon optimal controls for problems governed by a Volterra integral equation with state-and-control-dependent discount factor
We concern ourselves with the existence of optimal solutions to optimal control problems defined on an unbounded time interval with states governed by a nonlinear Volterra integral equation. These result extend both the work of \textit{R. F. Baum} [ibid. 19, 89-116 (1976; Zbl 0305.49002)] and others in infinite-horizon control of ordinary differential equations as well as the work of \textit{T. S. Angell} [ibid. 41, 9-35 (1983; Zbl 0514.93010)] concerning integral equations. In addition, we incorporate into the objective functional (described by an improper integral) a discount factor which reflects a hereditary dependence on both state and control. In this manner, we are able to generalize the recent results of \textit{R. A. Becker}, \textit{J. H. Boyd} and \textit{B.-Y. Sung} [Recursive utility and optimal capital accumulation. I: Existence (preprint 1988). See also J. Econ. Theory 47, No.1, 76-100 (1989)] in which they establish an existence theorem in the calculus of variations with objective functionals of the so-called recursive type. Our results are obtained through the use of appropriate lower-closure theorems and compactness conditions. Examples are presented in which the applicability of our results is demonstrated.
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