Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
Optimization and Control
2025-04-18 v1
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.
Cite
@article{arxiv.2504.12728,
title = {Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon},
author = {Anton O. Belyakov and Yuri M. Kabanov and Ivan A. Terekhov and Maxim M. Savinov},
journal= {arXiv preprint arXiv:2504.12728},
year = {2025}
}