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A Technique for Stochastic Control Problems with Unbounded Control Set

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Listed:
  • J. R. Dorroh

    (Louisiana State University)

  • G. Ferreyra

    (Louisiana State University)

  • P. Sundar

    (Louisiana State University)

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.

Suggested Citation

  • J. R. Dorroh & G. Ferreyra & P. Sundar, 1999. "A Technique for Stochastic Control Problems with Unbounded Control Set," Journal of Theoretical Probability, Springer, vol. 12(1), pages 255-270, January.
    • Handle: RePEc:spr:jotpro:v:12:y:1999:i:1:d:10.1023_a:1021761030407
    DOI: 10.1023/A:1021761030407
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    References listed on IDEAS

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    1. Charles S. Tapiero, 1975. "On-Line and Adaptive Optimum Advertising Control by a Diffusion Approximation," Operations Research, INFORMS, vol. 23(5), pages 890-907, October.
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