A technique for stochastic control problems with unbounded control set

DOI10.1023/A:1021761030407MaRDI QIDQ1283448zbMATH OpenFDO

Authors K. Appert

Publication date 9 January 2000

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1021761030407

zbMATH Keywords

approximationstochastic controlsuboptimal controls

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Review text

A technique in the time domain for solving stochastic control problems with an unbounded control set is described. The technique is applied to a class of maximization problems that do not have optimal controls. For such a given problem, an extended problem is formulated which has the same value function as the original problem and for which there exist optimal controls that are expressible in simple terms. In this way, a sequence of suboptimal controls for the original problem is obtained. For this sequence the payoff functions approach the value function.

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Cited in

(2)

• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• State constrained control problems with neither coercivity nor \(L^1\) bounds on the controls

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