Articlegreen2006

Existence of optimal controls for singular control problems with state constraints

25 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Advanced Control Systems Optimization Optimization and Variational Analysis

Abstract

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 [14], associated with a broad family of stochastic networks, follows as a consequence.

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2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 1988Brownian Motion and Stochastic Calculus 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1990Portfolio Selection with Transaction Costs 2001Numerical Methods for Stochastic Control Problems in Continuous Time 1988Brownian Models of Queueing Networks with Heterogeneous Customer Populations 1980Some solvable stochastic control problemst†

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