Maximum principle for discrete-time robust stochastic optimal control problem
Year: 2025
Type: preprint
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.
Source: arXiv (Cornell University)
Author: He, Wei
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7077865419
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