Article ID: | iaor20031137 |
Country: | Cuba |
Volume: | 23 |
Issue: | 1 |
Start Page Number: | 27 |
End Page Number: | 36 |
Publication Date: | Jan 2002 |
Journal: | Revista de Investigacin Operacional |
Authors: | Grecksch W., Heyde F., Tammer Chr. |
In this paper we consider a multiobjective stochastic control problem and derive necessary conditions for approximate solutions of the control problem using a multicriteria variational principle of Ekeland's type. The restrictions in the multiobjective stochastic control problem are formulated by dynamical equations. The solution of these dynamical equations can be obtained applying the Girsanov measure transformation. Furthermore, the objective functions are terminal costs