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Bibliography

Journal Article

Ergodic maximum principle for stochastic systems

Orrieri C., Tessitore G., Veverka Petr

: Applied Mathematics and Optimization vol.79, 3 (2019), p. 567-591

: stochastic maximum principle, backward stochastic differential equations, ergodic control problem

: 10.1007/s00245-017-9448-7

: http://library.utia.cas.cz/separaty/2019/E/veverka-0505059.pdf

: https://link.springer.com/article/10.1007/s00245-017-9448-7?shared-article-renderer

(eng): A version of the stochastic maximum principle for ergodic control problems is presented. In particular, necessary (and sufficient) conditions for optimality for controlled dissipative systems in finite dimensions are given.

: BA

: 10102