Sufficient stochastic maximum principle for discounted control problem

DOI10.1007/S00245-014-9241-9MaRDI QIDQ486238zbMATHOpenAlexFDO

Authors B. 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

stochastic maximum principleinfinite horizondiscounted control problemforward-backward stochastic differential equations (FBSDEs)stochastic logistic equation

Mathematics Subject Classification ID

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

Abstract: In this article, the sufficient Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function. Throughout the paper, it is assumed that the control domain U is a convex set and the control may enter the diffusion term of the state equation. The general results are applied to the controlled stochastic logistic equation of population dynamics.

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Cited in

(12)

• Infinite horizon backward stochastic Volterra integral equations and discounted control problems
• Future expectations modeling, random coefficient forward-backward stochastic differential equations, and stochastic viscosity solutions
• On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
• Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
• Infinite horizon optimal control of forward-backward stochastic differential equations with delay
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• Necessary stochastic maximum principle for dissipative systems on infinite time horizon
• An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon

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