Existence of optimal controls for singular control problems with state constraints

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 \citehar, associated with a broad family of stochastic networks, follows as a consequence.

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)

References in corpus (3)

• Diffusion approximations for controlled stochastic networks: An asymptotic bound for the value function
• Existence of optimal controls for singular control problems with state constraints
• Singular control with state constraints on unbounded domain

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