On discrete time infinite horizon optimal growth problem

Optimal Multi-Modes Switching Problem in Infinite Horizon

This paper studies the problem of the deterministic version of the Verification Theorem for the optimal m-states switching in infinite horizon under Markovian framework with arbitrary switching cost functions. The problem is formulated as an extended impulse control problem and solved by means of probabilistic tools such as the Snell envelop of processes and reflected backward stochastic differ...

An Infinite Horizon Optimal Control Problem for Some Switching Systems

Martingale Measures for Discrete Time Processes with Infinite Horizon

Let (St)t2I be an IR {valued adapted stochastic process on ( ;F ; (Ft)t2I ; P ). A basic problem, occuring notably in the analysis of securities markets, is to decide whether there is a probability measure Q on F equivalent to P such that (St)t2I is a martingale with respect to Q. It is known since the fundamental papers of Harrison{Kreps (79), Harrison{Pliska(81) and Kreps(81) that there is an...

Infinite Horizon Discrete Time Control Problems for Bounded Processes

We establish Pontryagin Maximum Principles in the strong form for infinite horizon optimal control problems for bounded processes, for systems governed by difference equations. Results due to Ioffe and Tihomirov are among the tools used to prove our theorems. We write necessary conditions with weakened hypotheses of concavity and without invertibility, and we provide new results on the adjoint ...

Optimality criteria for deterministic discrete-time infinite horizon optimization

We consider the problem of selecting an optimality criterion, when total costs diverge, in deterministic infinite horizon optimization over discrete time. Our formulation allows for both discrete and continuous state and action spaces, as well as time-varying, that is, nonstationary, data. The task is to choose a criterion that is neither too overselective, so that no policy is optimal, nor too...