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.
Publié le : 2006-11-14
Classification:
Singular control,
state constraints,
Brownian control problems,
stochastic networks,
equivalent workload formulation,
93E20,
60K25,
49J30
@article{1169065223,
author = {Budhiraja, Amarjit and Ross, Kevin},
title = {Existence of optimal controls for singular control problems with state constraints},
journal = {Ann. Appl. Probab.},
volume = {16},
number = {1},
year = {2006},
pages = { 2235-2255},
language = {en},
url = {http://dml.mathdoc.fr/item/1169065223}
}
Budhiraja, Amarjit; Ross, Kevin. Existence of optimal controls for singular control problems with state constraints. Ann. Appl. Probab., Tome 16 (2006) no. 1, pp. 2235-2255. http://gdmltest.u-ga.fr/item/1169065223/