# Optimality conditions and local regularity of the value function for the optimal exit time problem

## TL;DR

This paper investigates the optimal exit time control problem, establishing conditions for the regularity and differentiability of the value function, and applying the Pontryagin maximum principle to derive optimality and sensitivity conditions.

## Contribution

It provides new insights into the regularity properties of the value function for exit time problems, including conditions for continuous differentiability based on proximal subdifferentials.

## Key findings

- The value function is semiconcave and twice differentiable almost everywhere.
- Differentiability at a point does not imply continuous differentiability nearby.
- Proximal subdifferential nonemptiness implies local continuous differentiability.

## Abstract

We consider the control problem with \textit{exit time}. Unlike the Bolza and Mayer problems, in this problem the terminal time of the trajectories is not fixed, but it is the first time at which they reach a given closed subset - \textit{the target}. The most studied example is the \textit{optimal time problem}, where we want to steer a point to the target in minimal time. In this section, we first introduce the exit time problem, then we recall the existence of optimal controls, and some regularity results for the value function. We then use a suitable form of the \textit{Pontryagin maximum principle} to study some optimality conditions and sensitivity relations for the exit time problem. The strongest regularity property for the value function that one can expect, in fairly general cases, is \textit{semiconcavity}. In this case, the value function is twice differentiable almost everywhere. Furthermore, in general, it fails to be differentiable at points where there are multiple optimal trajectories and its differentiability at a point does not guarantee continuous differentiability around this point. In the subsection \ref{S3} we shown that, under suitable assumptions, the nonemptiness of proximal subdifferential of the value function at a point implies its continuous differentiability on a neighborhood of this point.