Necessary stochastic maximum principle for dissipative systems on infinite time horizon

DOI10.1051/cocv/2015054zbMath1354.93178arXiv1503.07760OpenAlexW995806675MaRDI QIDQ2963509

Petr Veverka, Carlo Orrieri

Publication date: 14 February 2017

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.07760

zbMATH Keywords

stochastic maximum principledissipative systemsbackward stochastic differential equationinfinite time horizonnecessary conditions for optimalitystochastic discounted control problem

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

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, On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay, Optimal Distributed Control of a Stochastic Cahn--Hilliard Equation, Infinite horizon backward stochastic Volterra integral equations and discounted control problems

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