How to state necessary optimality conditions for control problems with deviating arguments ?

Tahraoui, Rabah; Samassi, Lassana

ESAIM: Control, Optimisation and Calculus of Variations, Tome 14 (2008) no. 2, pp. 381-409.

The aim of this paper is to give a general idea to state optimality conditions of control problems in the following form: ${\displaystyle \underset{{\displaystyle (u,v)\in {𝒰}_{ad}}}{inf}{\int }_0^{1}f\left(t,u\left({\theta }_v\left(t\right)\right),u^{\text{'}}\left(t\right),v\left(t\right)\right)\mathrm{d}t}$, (1) where ${𝒰}_{ad}$ is a set of admissible controls and ${\theta }_v$ is the solution of the following equation: $\{\frac{\mathrm{d}\theta \left(t\right)}{\mathrm{d}t}=g(t,\theta \left(t\right),v\left(t\right)),t\in [0,1]$ ; ${\displaystyle \theta \left(0\right)={\theta }_0,\theta \left(t\right)\in [0,1]\forall t}$. (2). The results are nonlocal and new.

Classification : 49J15, 49J22, 49J25, 49J45, 49K15, 49K25, 49K22, 34K35, 47E05, 91B26, 91B28, 93C15
Mots clés : functionals with deviating arguments, optimal control, Euler-Lagrange equation, financial market

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