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
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
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