#### Title

Stochastic problems with unbounded control set

#### Document Type

Conference Proceeding

#### Publication Date

1-1-1996

#### 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)

Proceedings of the Annual Southeastern Symposium on System Theory

#### First Page

170

#### Last Page

174

#### Recommended Citation

Dorroh, J., Ferreyra, G., & Sundar, P.
(1996). Stochastic problems with unbounded control set.* Proceedings of the Annual Southeastern Symposium on System Theory*, 170-174.
Retrieved from https://digitalcommons.lsu.edu/mathematics_pubs/1373