Existence of optimal controls for singular control problems with state constraints
概率论
2007-05-23 v1
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 \citehar, associated with a broad family of stochastic networks, follows as a consequence.
引用
@article{arxiv.math/0702418,
title = {Existence of optimal controls for singular control problems with state constraints},
author = {Amarjit Budhiraja and Kevin Ross},
journal= {arXiv preprint arXiv:math/0702418},
year = {2007}
}
备注
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)