ISSN:
1572-9230
Keywords:
Optimal control
;
stochastic differential equations
;
convergence in law
;
unbounded control set
;
suboptimal control
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract We describe a change of time technique for stochastic control problems with unbounded control set. We demonstrate the technique on a class of maximization problems that do not have optimal controls. Given such a problem, we introduce an extended problem which has the same value function as the original problem and for which there exist optimal controls that are expressible in simple terms. This device yields a natural sequence of suboptimal controls for the original problem. By this we mean a sequence of controls for which the payoff functions approach the value function.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1021761030407