Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems (Q1397025): Difference between revisions

A multiobjective stochastic control problem is studied in this paper. Authors consider stochastic differential equation (SDE) with controlled drift, introduce the cost function as multiobjective function (i.e., expectation with respect to the Girsanov measure of the multidimensional function of the solution of the SDE at the boundary point \(1\)) and formulate the multicriteria stochastic control problem. To solve this problem, a second order system of partial differential equations (PDEs) for the adjoint process is obtained and necessary and sufficient conditions leading to the system of PDEs, which is numerical solvable by a finite difference method , are stated. The convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown. In this way, an extension of the stochastic control problem introduced by \textit{R. Elliott} and \textit{M. Kohlmann} [Stochastics 3, 229--241 (1980; Zbl 0434.49009)] is studied.