A generalized optimal control problem

Suren Basov, La Trobe University
Svetlana Danilkina, Melbourne University

Abstract

In this paper we generalize the Pontryagin maximum principle for the case of an optimal control problem in which the objective function is represented by an integral with respect to an arbitrary probability measure. Such problems arize in screening models with general type spaces. They can also arise in the optimal growth theory if the psychological measure of time is different from the physical time.