A Technique for Stochastic Control Problems with Unbounded Control Set

Document Type

Article

Publication Date

1-1-1999

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.

Publication Source (Journal or Book title)

Journal of Theoretical Probability

First Page

255

Last Page

270

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