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Bibliography
Journal Article
Ergodic maximum principle for stochastic systems
, ,
: Applied Mathematics and Optimization vol.79, 3 (2019), p. 567-591
: stochastic maximum principle, backward stochastic differential equations, ergodic control problem
: 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