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Discrete Time Pontryagin Principles with Infinite Horizon

✍ Scribed by Joël Blot; Hassen Chebbi

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
127 KB
Volume
246
Category
Article
ISSN
0022-247X

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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.

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