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math.PR2016
Ergodic maximum principle for stochastic systems
Carlo Orrieri, Gianmario Tessitore, Petr Veverka
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controll…
math.PR2015
Necessary stochastic maximum principle for dissipative systems on infinite time horizon
Carlo Orrieri, Petr Veverka
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumpt…