Maximum principle for a discrete-time robust stochastic optimal control problem

DOI10.3934/PUQR.2025026MaRDI QIDQ7323125zbMATH OpenFDO

Authors Wei He

Publication date 1 September 2026

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/PUQR.2025026

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

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