Sufficient Stochastic Maximum Principle for Discounted Control Problem
نویسندگان
چکیده
منابع مشابه
Sufficient Stochastic Maximum Principle for Discounted Control Problem
In this article, the sufficient Pontryagin’s maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function. Throughout the paper, it is assumed that the control domain U is a convex set and the control may enter the diffusion term of the state equation. The general resu...
متن کاملMaximum Principle for Singular Stochastic Control Problems
In this paper, an optimal singular stochastic control problem is considered. For this model, it is obtained a general stochastic maximum principle by using a time transformation. This is the first version of the stochastic maximum principle that covers the singular control problem in the nonlinear case.
متن کاملStochastic maximum principle
The Pontrjagin maximum principle solves the problem of optimal control of a continuous deterministic system. The discrete maximum principle solves the problem of optimal control of a discrete-time deterministic system. The maximum principle changes the problem of optimal control to a two point boundary value problem which can be completely solved only in special tasks. It was probably the reaso...
متن کاملStochastic maximum principle for optimal control of SPDEs
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
متن کاملStochastic maximum principle for optimal control under uncertainty
Optimal control problems involve the difficult task of determining time-varying profiles through dynamic optimization. Such problems become even more complex in practical situations where handling time dependent uncertainties becomes an important issue. Approaches to stochastic optimal control problems have been reported in the finance literature and are based on real option theory, combining I...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2014
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-014-9241-9