Inserted: 16 nov 2009
Last Updated: 25 jul 2011
Journal: Communication in Pure and Applied Analysis (CPAA)
This paper aims to investigate a control problem governed by differential equations with Random measure as data and with final state constraints. By using a known reparametrization method (by Dal Maso and Rampazzo), we obtain that the value function can be characterized by means of an auxiliary control problem involving absolutely continuous trajectories. We study the characterization of the value function of this auxiliary problem and discuss its discrete approximations.