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arxiv: math/0702418 · v1 · submitted 2007-02-14 · 🧮 math.PR

Existence of optimal controls for singular control problems with state constraints

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keywords controlexistenceoptimalproblemsconstraintscontrolssingularstate
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We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for Brownian control problems \citehar, associated with a broad family of stochastic networks, follows as a consequence.

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