ON SUFFICIENT AND NECESSARY OF EXISTENCE FOR A CLASS OF SINGULAR OPTIMAL STOCHASTIC CONTROL

摘要

We study a class of discounted models of singular stochastic control. In this kind of models, not only the structure of cost function has been extended to some general type, but also the state can be represented as the solution of a class of stochastic differential equations with nonlinear drift and diffusion term. By the various methods of stochastic analysis, we derive the sufficient and necessary conditions of the existence of optimal control.