A Technique for Stochastic Control Problems with Unbounded Control Set

J. R. Dorroh, G. Ferreyra and P. Sundar
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J. R. Dorroh: Louisiana State University
G. Ferreyra: Louisiana State University
P. Sundar: Louisiana State University

Journal of Theoretical Probability, 1999, vol. 12, issue 1, 255-270

Abstract: 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.

Keywords: Optimal control; stochastic differential equations; convergence in law; unbounded control set; suboptimal control (search for similar items in EconPapers)
Date: 1999
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DOI: 10.1023/A:1021761030407

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