Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon

2025/04/17 by Belyakov, Anton O., Kabanov, Yuri M., Terekhov, Ivan A. +1
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2504.12728

Abstract

In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs appeared in the Bismut-Pontryagin maximum principle.

Citations

• The stochastic goodwill problem
• Adapted solution of a backward stochastic differential equation
• Conjugate convex functions in optimal stochastic control

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