scientific article; zbMATH DE number 17494
[For the entire collection see Zbl 0728.00017.] A complete control theory has been outlined for piecewise deterministic Markov processes with bounded local characteristics which are Lipschitz continuous in the state uniformly in the bounded control evolving within a bounded domain. Optimal policies, which specify open loop deterministic control from any interior point of the domain together with feedback control on the boundary, are characterized in terms of a Dirichlet problem for the associated generalized Bellman-Hamilton-Jacobi equation in which the classical gradient is replaced by a minimization over the generalized gradient of the Lipschitz continuous solution. The value function is shown to be the unique solution to this Dirichlet problem under an extrinsic regularity assumption. A nonsmooth local Pontryagin- Hamilton maximum principle is also given in which the value function appears explicitly in the Hamiltonian.
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