Optimal control problem for reflected stochastic differential equation: existence
Probability
2025-11-25 v2
Abstract
We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs in the uniform convergence topology, along with an appropriate Skorokhod representation theorem.
Cite
@article{arxiv.2503.10978,
title = {Optimal control problem for reflected stochastic differential equation: existence},
author = {Ayoub Laayoun and Badr Missaoui},
journal= {arXiv preprint arXiv:2503.10978},
year = {2025}
}