Theorem on the Structure of the Fractionally Linear Functional Extremal Function

Abstract

The paper proves a theorem about the structure of the distribution function on which the extremum of the fractionally linear functional is reached in the presence of an uncountable number of linear constraints. The problem of finding an extremal distribution function arises when determining the optimal control strategy in a class of Markov homogeneous randomized control strategies. The structure of extremal functions is described by a finite number of parameters; hence, the problem is greatly simplified since it is reduced to the search for an extremum of some function.