Title

Existence of Optimal Controls for Singular Control Problems with State Constraints

Author Info

Amarjit Budhiraja, University of North Carolina at Chapel Hill
Kevin Ross, University of North Carolina at Chapel HillFollow

Recommended Citation

Published in The Annals of Applied Probability, Volume 16, Issue 4, January 1, 2006, pages 2235-2255.

NOTE: At the time of publication, the author Kevin Ross was not yet affiliated with Cal Poly.

The definitive version is available at https://doi.org/10.1214/105051606000000556.

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, associated with a broad family of stochastic networks, follows as a consequence.

Disciplines

Statistics and Probability

Copyright

2006 Institute of Mathematical Statistics.