Existence of optimal controls for singular control problems with state constraints
نویسندگان
چکیده
منابع مشابه
Existence of Optimal Controls for Singular Control Problems with State Constraints1 by Amarjit Budhiraja
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. 1. Introduction. This paper is concerned with a cl...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2006
ISSN: 1050-5164
DOI: 10.1214/105051606000000556