We study a new non-classical class of variational problems that is motivated
by some recent research on the non-linear revenue problem in the field of
economics. This class of problem can be set up as a maximising problem in the
Calculus of Variations (CoV) or Optimal Control. However, the state value at
the final fixed time, y(T), is a priori unknown and the integrand is a function
of the unknown y(T). This is a non-standard CoV problem.