Open Access
November 2006 Existence of optimal controls for singular control problems with state constraints
Amarjit Budhiraja, Kevin Ross
Ann. Appl. Probab. 16(4): 2235-2255 (November 2006). DOI: 10.1214/105051606000000556

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.

Citation

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Amarjit Budhiraja. Kevin Ross. "Existence of optimal controls for singular control problems with state constraints." Ann. Appl. Probab. 16 (4) 2235 - 2255, November 2006. https://doi.org/10.1214/105051606000000556

Information

Published: November 2006
First available in Project Euclid: 17 January 2007

zbMATH: 1118.49008
MathSciNet: MR2288720
Digital Object Identifier: 10.1214/105051606000000556

Subjects:
Primary: 49J30 , 60K25 , 93E20

Keywords: Brownian control problems , equivalent workload formulation , singular control , state constraints , Stochastic networks

Rights: Copyright © 2006 Institute of Mathematical Statistics

Vol.16 • No. 4 • November 2006
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