An infinite-horizon stochastic discrete-time Pontryagin principle

被引：5
|
作者：
Blot, Joel [1 ]
机构：
[1] Univ Paris 01, Lab Marin Mersenne, F-75013 Paris, France
来源：
NONLINEAR ANALYSIS-THEORY METHODS & APPLICATIONS | 2009年 / 71卷 / 12期
关键词：
Infinite-horizon optimal control; Discrete time; Stochastic Pontryagin principle;
D O I：
10.1016/j.na.2009.01.063
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2009 Elsevier Ltd. All rights reserved.
引用
收藏
页码：E999 / E1004
页数：6
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