An infinite-horizon stochastic discrete-time Pontryagin principle

DOI10.1016/J.NA.2009.01.063zbMath1238.90134OpenAlexW2021201220MaRDI QIDQ419866

Joël Blot

Publication date: 20 May 2012

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.01.063

zbMATH Keywords

discrete timeinfinite-horizon optimal controlstochastic Pontryagin principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Markov and semi-Markov decision processes (90C40) Discrete version of topics in analysis (39A12)

Related Items (2)

Stochastic maximum principle for discrete time mean‐field optimal control problems ⋮ Necessary first-order and second-order optimality conditions in discrete-time stochastic systems

Cites Work

• Discrete time Pontryagin principles with infinite horizon
• Programmes mathématiques mixtes. Application au principe du maximum en temps discret dans le cas déterministe et dans le cas stochastique
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