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arXiv · 2508.17249

Maximum principle for discrete-time robust stochastic optimal control problem

Wei He
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Abstract

This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "inf sup problem", the classical variational method is invalid. We obtain the variational inequality with a common reference probability by systematically using weak convergence approach and the minimax theorem. Moreover, a discrete-time robust investment problem is also studied where the explicit optimal control is given.

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Wei He. 2025-08-24. Maximum principle for discrete-time robust stochastic optimal control problem. https://arxiv.org/abs/2508.17249

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