Stochastic problems with unbounded control set

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Conference Proceeding

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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)

Proceedings of the Annual Southeastern Symposium on System Theory

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