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  • In this article, the proof of Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is given. The suficient maximum principle is considered, i.e. the maximality and concavity of the associated Hamiltonian function is assumed. The crucial method used here is the approximation of the (infinite horizon) backward adjoint equation. Finally, one basic example from finance and production theory is given to show the applicability.
  • In this article, the proof of Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is given. The suficient maximum principle is considered, i.e. the maximality and concavity of the associated Hamiltonian function is assumed. The crucial method used here is the approximation of the (infinite horizon) backward adjoint equation. Finally, one basic example from finance and production theory is given to show the applicability. (en)
Title
  • Suficient stochastic maximum principle for discounted control problem
  • Suficient stochastic maximum principle for discounted control problem (en)
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  • Suficient stochastic maximum principle for discounted control problem
  • Suficient stochastic maximum principle for discounted control problem (en)
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  • RIV/68407700:21340/11:00189484!RIV12-MSM-21340___
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  • RIV/68407700:21340/11:00189484
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  • stochastic control problem (en)
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  • [8A3244B45DB9]
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  • SPMS 2011 Stochastic and Physical Monitoring Systems - Proceedings
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  • Veverka, Petr
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  • České vysoké učení technické v Praze. Fakulta jaderná a fyzikálně inženýrská
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  • 978-80-01-04916-7
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  • 21340
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