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arXiv · 2504.12728

Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon

Anton O. Belyakov·Yuri M. Kabanov·Ivan A. Terekhov·Maxim M. Savinov
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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.

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Anton O. Belyakov, Yuri M. Kabanov, Ivan A. Terekhov, Maxim M. Savinov. 2025-04-17. Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon. https://arxiv.org/abs/2504.12728

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