An infinite-horizon stochastic discrete-time Pontryagin principle

✍ Scribed by Joël Blot

• Publisher: Elsevier Science
• Year: 2009
• Tongue: English
• Weight: 257 KB
• Volume: 71
• Category: Article
• ISSN: 0362-546X
• DOI: 10.1016/j.na.2009.01.063

✦ Synopsis

The aim of this paper is to establish a Pontryagin principle for a stochastic infinite-horizon discrete-time optimal control problem governed by a difference inequation. We use a setting used by Arkin and Evstigneev and we extend their finite-horizon result to the infinite-horizon framework.