Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs appeared in the Bismut-Pontryagin maximum principle.
Anton O. Belyakov、Yuri M. Kabanov、Ivan A. Terekhov、Maxim M. Savinov
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Anton O. Belyakov,Yuri M. Kabanov,Ivan A. Terekhov,Maxim M. Savinov.Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon[EB/OL].(2025-04-17)[2025-05-16].https://arxiv.org/abs/2504.12728.点此复制
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