Infinite horizon maximum principle for the discounted control problem - Incomplete version

Details Infinite horizon maximum principle for the discounted control problem - Incomplete version Infinite horizon maximum principle for the discounted control problem - Incomplete version

2011-05-24

arxiv.org/abs/1105.4737v1

Mathematics

Optimization and Control

Scientific paper

In this article, the proof of Pontryagin's maximum principle for infinite horizon discounted stochastic control problem is given. A sufficient version of the maximum principle is considered, i.e. the maximality and concavity of the associated Hamiltonian function is assumed. The crucial method used is the approximation of the (infinite horizon) backward adjoint process. Finally, some basic examples from finance are given to show the usage of the maximum principle.

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