Sufficient stochastic maximum principle for discounted control problem

DOI10.1007/s00245-014-9241-9zbMath1303.93189arXiv1105.4737OpenAlexW2038109231MaRDI QIDQ486238

Bohdan Maslowski, Petr Veverka

Publication date: 14 January 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.4737

zbMATH Keywords

infinite horizonstochastic maximum principlestochastic logistic equationdiscounted control problemforward-backward stochastic differential equations (FBSDEs)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (9)

Ergodic maximum principle for stochastic systems ⋮ The maximum principle for discounted optimal control of partially observed forward-backward stochastic systems with jumps on infinite horizon ⋮ Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems ⋮ Necessary stochastic maximum principle for dissipative systems on infinite time horizon ⋮ On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay ⋮ Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions ⋮ Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon ⋮ Infinite horizon backward stochastic Volterra integral equations and discounted control problems ⋮ Infinite horizon optimal control of forward-backward stochastic differential equations with delay

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