Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
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.