其他摘要：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.
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