Existence of optimal controls for singular control problems with state constraints

• 成果类型: Article
• 署名作者: Budhiraja, Amarjit; Ross, Kevin
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000556
• 发表日期: 2006
• 页码: 2235-2255
• 关键词: stochastic-control; follower problems; connections; REGULARITY

摘要

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.