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

F. Heyde, W. Grecksch and Chr. Tammer

Mathematical Methods of Operations Research, 2001, vol. 54, issue 3, 425-438

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 2001

Keywords: Key words: stochastic optimal control; minimum principle; adjoint process; finite difference method (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:54:y:2001:i:3:p:425-438

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DOI: 10.1007/s001860100163

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