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

页码：E999 / E1004

页数：6

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