Bang-bang controls of point processes

Abstract

In this paper, we consider the problem of controlling the intensity of a point process in order to maximize the probability that the number of points in a fixed interval equals a given integer, under the constraint that the intensity belong to some closed interval of R⁺.The problem is stated as a problem of optimization on the set of probabilities over the basic measurable space of point processes, and shown to be equivalent to a problem of deterministic control. Structural results concerning the set of optimal solutions are given. The existence of the latter is proven; the control is shown to be bang-bang and a complete solution can be obtained by application of Pontryagin's Maximum Principle.