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A Technique for Stochastic Control Problems with Unbounded Control Set (1999)

Dorroh, J. R. ; Ferreyra, G. ; Sundar, P.

Springer

Journal of theoretical probability 12 (1999), S. 255-270

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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

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