Sobre un Problema Singular de Control Óptimo de Tipo Minimax con Costo Final

Abstract

In this paper we study an optimal control problem with finite horizon and final cost. We establish the dynamical programming principle through the introduction of an ad-hoc defined associated problem. We also present the Hamilton-Jacobi-Bellman (HJB) equation defined in terms of a discontinuous Hamiltonian. We propose two discretization schemes and we prove that they converge to the unique solution of the HJB equation.