Remarks on a simple optimal control problem with monotone control functions

Abstract

We consider the minimization of the mean-square deviation of a prescribed function from the class of monotone functions. Two problems are considered. The first problem places no restriction on the initial value of the controls, while the second problem assumes that all the control functions must start at a fixed initial value. Optimal controls are exhibited in both problems. Finally, we consider the situation with general payoff and dynamics and give the heuristic characterization of the value function for such problems.