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

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

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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: , ,
Abstract:

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.

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