Maximum principle for discrete-time robust stochastic optimal control problem
Optimization and Control
2025-08-26 v1 Probability
Abstract
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is invalid. We obtain the variational inequality with a common reference probability by systematically using weak convergence approach and the minimax theorem. Moreover, a discrete-time robust investment problem is also studied where the explicit optimal control is given.
Cite
@article{arxiv.2508.17249,
title = {Maximum principle for discrete-time robust stochastic optimal control problem},
author = {Wei He},
journal= {arXiv preprint arXiv:2508.17249},
year = {2025}
}
Comments
24 pages