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Existence of optimal controls for singular control problems with state constraints

Amarjit Budhiraja·Kevin Ross
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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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Amarjit Budhiraja, Kevin Ross. 2007-02-14. Existence of optimal controls for singular control problems with state constraints. https://doi.org/10.1214/105051606000000556

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