Existence of optimal controls for singular control problems with state constraints

Citation
Budhiraja, Amarjit et Ross, Kevin, Existence of optimal controls for singular control problems with state constraints, Annals of applied probability , 16(4), 2006, pp. 2235-2255
ISSN journal
10505164
Volume
16
Issue
4
Year of publication
2006
Pages
2235 - 2255
Database
ACNP
SICI code
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 [14], associated with a broad family of stochastic networks, follows as a consequence.