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Description
  • In this article, the sufficient Pontryagin’s maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function. Throughout the paper, it is assumed that the control domain U is a convex bounded set and the control may enter the diffusion term of the state equation. The general results are applied to the controlled stochastic logistic equation of population dynamics.
  • In this article, the sufficient Pontryagin’s maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function. Throughout the paper, it is assumed that the control domain U is a convex bounded set and the control may enter the diffusion term of the state equation. The general results are applied to the controlled stochastic logistic equation of population dynamics. (en)
Title
  • Sufficient Stochastic Maximum Principle for Discounted Control Problem
  • Sufficient Stochastic Maximum Principle for Discounted Control Problem (en)
skos:prefLabel
  • Sufficient Stochastic Maximum Principle for Discounted Control Problem
  • Sufficient Stochastic Maximum Principle for Discounted Control Problem (en)
skos:notation
  • RIV/68407700:21340/14:00209295!RIV15-MSM-21340___
http://linked.open...avai/riv/aktivita
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  • I, P(GAP201/10/0752), S
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  • 2
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  • 48510
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  • RIV/68407700:21340/14:00209295
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  • Stochastic maximum principle; discounted control problem; FBSDE; infinite horizon; stochastic logistic equation (en)
http://linked.open.../riv/klicoveSlovo
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  • US - Spojené státy americké
http://linked.open...ontrolniKodProRIV
  • [04DE7A2D5AE3]
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  • Applied Mathematics & Optimization
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  • 70
http://linked.open...iv/tvurceVysledku
  • Veverka, Petr
  • Maslowski, B.
http://linked.open...ain/vavai/riv/wos
  • 000341781800002
issn
  • 0095-4616
number of pages
http://bibframe.org/vocab/doi
  • 10.1007/s00245-014-9241-9
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  • 21340
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