Optimal control problem for reflected stochastic differential equation: existence

Ayoub Laayoun; Badr Missaoui

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arXiv · 2503.10978

Optimal control problem for reflected stochastic differential equation: existence

Ayoub Laayoun·Badr Missaoui

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Abstract

We establish the existence of both optimal relaxed controls and strict optimal controls for systems driven by Reflected Stochastic Differential Equations RSDEs. Our approach is based on weak convergence techniques for the associated RSDEs in the uniform convergence topology, along with an appropriate Skorokhod representation theorem.

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Ayoub Laayoun, Badr Missaoui. 2025-03-14. Optimal control problem for reflected stochastic differential equation: existence. https://arxiv.org/abs/2503.10978

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