Stochastic control problems with unbounded control set

Author

Dorroh, J.R. ; Ferreyra, G. ; Sundar, P.

Author_Institution

Dept. of Math., Louisiana State Univ., Baton Rouge, LA, USA

fYear

1996

fDate

11-14 Apr 1996

Firstpage

128

Lastpage

131

Abstract

Stochastic differential equations with adapted control are obtained as natural limits of birth and death processes, and an important class of such SDEs in which the control set is unbounded is studied. A change of time technique allows us to transform such control problems to ones with a bounded control set. The transformed problem has the same value function as the originally posed problem. A nice feature of the transformed problem consists in (a) the existence of an optimal control that is expressible in simple terms, and (b) the existence of a natural sequence of physically realizable controls for which the payoff functions converge to the value function

Keywords

differential equations; optimal control; stochastic systems; adaptive control; birth-and-death processes; bounded control set; optimal control; payoff functions; stochastic control problems; stochastic differential equations; unbounded control set; value function; Advertising; Differential equations; Marketing and sales; Markov processes; Mathematics; Optimal control; Stochastic processes; Transforms;

fLanguage

English

Publisher

ieee

Conference_Titel

Southeastcon '96. Bringing Together Education, Science and Technology., Proceedings of the IEEE

Conference_Location

Tampa, FL

Print_ISBN

0-7803-3088-9

Type

conf

DOI

10.1109/SECON.1996.510041

Filename

510041