Krawczyk, Jacek B. and Serea, OanaSilvia (2007): A viability theory approach to a twostage optimal control problem.

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Abstract
A twostage control problem is one, in which model parameters (“technology”) might be changed at some time. An optimal solution to utility maximisation for this class of problems needs to thus contain information on the time, at which the change will take place (0, finite or never) as well as the optimal control strategies before and after the change. For the change, or switch, to occur the “new technology” value function needs to dominate the “old technology” value function, after the switch. We charaterise the value function using the fact that its hypograph is a viability kernel of an auxiliary problem and study when the graphs can intersect and hence whether the switch can occur. Using this characterisation we analyse a technology switching problem.
Item Type:  MPRA Paper 

Original Title:  A viability theory approach to a twostage optimal control problem 
Language:  English 
Keywords:  value function, viability kernel, viscosity solutions 
Subjects:  C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C69  Other C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C61  Optimization Techniques; Programming Models; Dynamic Analysis 
Item ID:  10103 
Depositing User:  Jacek Krawczyk 
Date Deposited:  20. Aug 2008 03:27 
Last Modified:  16. Feb 2013 02:00 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/10103 