Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon
Published: Apr 17, 2025
Last Updated: Apr 17, 2025
Authors:Anton O. Belyakov, Yuri M. Kabanov, Ivan A. Terekhov, Maxim M. Savinov
Abstract
In this note we consider a problem of stochastic optimal control with the infinite-time horizon. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables stochastic described by BSDEs appeared in the Bismut-Pontryagin maximum principle.