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- Publisher
- Springer Journals
- Copyright
- Copyright © 2014 by Springer Science+Business Media New York
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-014-9241-9
- Publisher site
- See Article on Publisher Site
Abstract
In this article, the sufficient Pontryagin’s maximum principle for infinite horizon discounted stochastic control problem is established. The sufficiency is ensured by an additional assumption of concavity of the Hamiltonian function. Throughout the paper, it is assumed that the control domain $$U$$ U is a convex bounded set and the control may enter the diffusion term of the state equation. The general results are applied to the controlled stochastic logistic equation of population dynamics.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Oct 1, 2014