Article ID: | iaor2003616 |
Country: | Germany |
Volume: | 54 |
Issue: | 3 |
Start Page Number: | 425 |
End Page Number: | 438 |
Publication Date: | Jan 2001 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Grecksch W., Tammer C., Heyde F. |
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 partial differential equations is shown.