论文信息 - Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems

Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems

In this paper necessary and sufficient conditions for a multicriteria stochastic control problem are stated. Moreover the convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown.

Christiane Tammer | Wilfried Grecksch | Frank Heyde

[1] Robert J. Elliott. The Optimal Control of a Stochastic System , 1977 .

[2] J. Jahn. Mathematical vector optimization in partially ordered linear spaces , 1986 .

[3] I. V. Girsanov. On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures , 1960 .

[4] V. Benes. Existence of Optimal Stochastic Control Laws , 1971 .

[5] P. Varaiya,et al. Dynamic Programming Conditions for Partially Observable Stochastic Systems , 1973 .

[6] Robert J. Elliott,et al. The variational principle and stochastic optimal control , 1980 .