Sufficient Stochastic Maximum Principle for Discounted Control Problem

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10289700" target="_blank" >RIV/00216208:11320/14:10289700 - isvavai.cz</a>
Alternative codes found
RIV/68407700:21340/14:00209295
Result on the web
<a href="http://dx.doi.org/10.1007/s00245-014-9241-9" target="_blank" >http://dx.doi.org/10.1007/s00245-014-9241-9</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00245-014-9241-9" target="_blank" >10.1007/s00245-014-9241-9</a>

Result language
angličtina
Original language name
Sufficient Stochastic Maximum Principle for Discounted Control Problem
Original language 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 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.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Project
<a href="/en/project/GAP201%2F10%2F0752" target="_blank" >GAP201/10/0752: Stochastic Space-Time Systems</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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