Existence of optimal controls for singular control problems with state constraints

Details Existence of optimal controls for singular control problems with state constraints Existence of optimal controls for singular control problems with state constraints

2007-02-14

arxiv.org/abs/math/0702418v1

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

Mathematics

Probability

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

Scientific paper

10.1214/105051606000000556

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.

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