Existence of optimal controls for singular control problems with state constraints

DOI10.1214/105051606000000556zbMATH Open1118.49008arXivmath/0702418OpenAlexW2029650422MaRDI QIDQ997426FDOQ997426

Authors: Amarjit Budhiraja, Kevin Ross 

Publication date: 6 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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

Full work available at URL: https://arxiv.org/abs/math/0702418

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zbMATH Keywords

state constraintsstochastic networkssingular controlBrownian control problemsequivalent workload formulation

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Optimal stochastic control (93E20)

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Cited In (21)

• Extended Mean Field Games with Singular Controls
• Controlled stochastic networks in heavy traffic: convergence of value functions
• Optimal ergodic harvesting under ambiguity
• Existence of optimal controls for singular control problems with state constraints
• Stochastic games for fuel follower problem: \(N\) versus mean field game
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• Optimal dividend problem: asymptotic analysis
• From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
• Existence of singular optimal control laws for stochastic differential equations
• Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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