Existence of optimal controls for singular control problems with state constraints

DOI10.1214/105051606000000556MaRDI QIDQ997426zbMATH OpenOpenAlexFDO

Authors Amarjit Budhiraja, Kevin Ross

Publication date 6 August 2007

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

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

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)

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.

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Cited in

(21)

• Extended Mean Field Games with Singular Controls
• Controlled stochastic networks in heavy traffic: convergence of value functions
• Existence of optimal controls for singular control problems with state constraints
• Optimal ergodic harvesting under ambiguity
• Stochastic games for fuel follower problem: \(N\) versus mean field game
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• Optimal stopping and free boundary characterizations for some Brownian control problems
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
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• Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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