Maximum principle for discrete-time robust stochastic optimal control problem
Fuente:
arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866915460412342272 |
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| author | He, Wei |
| author_facet | He, Wei |
| contents | This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is invalid. We obtain the variational inequality with a common reference probability by systematically using weak convergence approach and the minimax theorem. Moreover, a discrete-time robust investment problem is also studied where the explicit optimal control is given. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_17249 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Maximum principle for discrete-time robust stochastic optimal control problem He, Wei Optimization and Control Probability 93C55, 93E20, 60H30 G.3 This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is invalid. We obtain the variational inequality with a common reference probability by systematically using weak convergence approach and the minimax theorem. Moreover, a discrete-time robust investment problem is also studied where the explicit optimal control is given. |
| title | Maximum principle for discrete-time robust stochastic optimal control problem |
| topic | Optimization and Control Probability 93C55, 93E20, 60H30 G.3 |
| url | https://arxiv.org/abs/2508.17249 |