Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon

Anton O. Belyakov (), Yuri M. Kabanov, Ivan A. Terekhov and Maxim M. Savinov
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Anton O. Belyakov: Lomonosov Moscow State University
Yuri M. Kabanov: Lomonosov Moscow State University
Ivan A. Terekhov: “Vega” Institute
Maxim M. Savinov: “Vega” Institute

Journal of Optimization Theory and Applications, 2026, vol. 208, issue 1, No 60, 10 pages

Abstract: Abstract In this note we consider a problem of stochastic optimal control with infinite-time horizon for diffusion-type processes given by SDE with random coefficients. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables described by BSDEs with the driver defined by the Hamilton–Pontryagin function.

Keywords: Stochastic optimal control; Overtaking optimality; Hamilton–Pontryagin function; Stochastic Pontryagin maximum principle; BSDE; 93E20; 49K45 (search for similar items in EconPapers)
Date: 2026
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DOI: 10.1007/s10957-025-02898-9

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