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Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems

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Abstract

In this paper necessary and sufficient conditions for a multicriteria stochastic control problem are stated. Moreover the convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown.

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Authors and Affiliations

  1. Institut für Optimierung und Stochastik, Martin-Luther-Universität, Halle-Wittenberg, Theodor-Lieser-Str. 5, D-06120 Halle, Germany (E-mail: heyde@mathematik.uni-halle.de, grecksch@mathematik.uni-halle.de, tammer@mathematik.uni-halle.de), DE

    F. Heyde, W. Grecksch & Chr. Tammer

Authors
  1. F. Heyde
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  2. W. Grecksch
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  3. Chr. Tammer
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Additional information

Manuscript received: February 2001/Final version received: September 2001

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Heyde, F., Grecksch, W. & Tammer, C. Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems. Mathematical Methods of OR 54, 425–438 (2001). https://doi.org/10.1007/s001860100163

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  • DOI: https://doi.org/10.1007/s001860100163