Maximum principle for discrete-time stochastic optimal control problem and stochastic game
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Publication:2119451
DOI10.3934/mcrf.2021031zbMath1485.93641OpenAlexW3177015905MaRDI QIDQ2119451
Publication date: 29 March 2022
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2021031
maximum principlestochastic optimal controldiscrete-time systemstochastic gameoptimal investment/consumption choice
Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Actuarial science and mathematical finance (91G99)
Related Items (6)
Maximum principle for discrete-time stochastic control problem of mean-field type ⋮ A maximum principle for discrete-time stochastic optimal control problemE20 with delay ⋮ Stochastic optimal control problems of discrete‐time Markov jump systems ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Solvability of general fully coupled forward–backward stochastic difference equations with delay and applications ⋮ Stochastic maximum principle for discrete time mean‐field optimal control problems
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