Stochastic problems with unbounded control set
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
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