and an input trajectory u(t) defined over a finite interval,
I've always been confused about this. Could you expand a little on how we know the sequence of u(t)? Where are we getting this input from? Is this some random sequence of controls? Do we need to solve another control problem before we get to the point of obtaining a trajectory to then obtain an optimal control (u(t)*) for it? Isn't the idea of optimal control to get the desired inputs (optimized for some cost) from an initial state to a desired state? In that sense all we know is the start and the end and then find the u(t). A planning method might get us the state trajectory but we still need to somehow know the u(t) that makes that planned trajectory feasible. Thanks!!