arXiv:math/0702418 Abstract

arXiv:math/0702418 [math.PR]Abstract References Reviews Resources

Existence of optimal controls for singular control problems with state constraints

Published 2007-02-14Version 1

We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for Brownian control problems \citehar, associated with a broad family of stochastic networks, follows as a consequence.

Comments: Published at http://dx.doi.org/10.1214/105051606000000556 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

Journal: Annals of Applied Probability 2006, Vol. 16, No. 4, 2235-2255

DOI: 10.1214/105051606000000556

Categories: math.PR

Subjects: 93E20, 60K25, 49J30

Keywords: singular control problems, optimal control, state constraints, brownian control problems, weak convergence arguments

Tags: journal article

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