An infinite-horizon stochastic discrete-time Pontryagin principle

Joël Blot (1)

1 Marin Mersenne - Pour les Mathématiques, l'Informatique et l'Interdisciplinarité

The aim of this paper is to establish a Pontryagin principle for a stochastic infinite-horizon discrete-time optimal control problem governed by a difference inequation. We use a setting used by Arkin and Estigneev and we extend their finite-horizon result to the infinite-horizon framework.

Mots clés: infinite-horizon optimal control; discrete time; stochastic Pontryagin principle

Domaines: Optimisation et contrôle [math.OC]

Joël Blot. An infinite-horizon stochastic discrete-time Pontryagin principle. Nonlinear Analysis: Theory, Methods and Applications, 2009, 71, pp.e999-e1004. ⟨10.1016/j.na.2009.01.063⟩. ⟨hal-00662481⟩