Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems

In this paper necessary and sufficient conditions for a multicriteria stochastic control problem are stated. Moreover the convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown. Copyright Springer-Verlag Berlin Heidelberg 2001

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Year of publication:	2001
Authors:	Heyde, F. ; Grecksch, W. ; Tammer, Chr.
Published in:	Computational Statistics. - Springer. - Vol. 54.2001, 3, p. 425-438
Publisher:	Springer
Subject:	stochastic optimal control \| minimum principle \| adjoint process \| finite difference method

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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