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

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  • F. Heyde
  • W. Grecksch
  • Chr. Tammer

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. Copyright Springer-Verlag Berlin Heidelberg 2001

Suggested Citation

  • F. Heyde & W. Grecksch & Chr. Tammer, 2001. "Exploitation of necessary and sufficient conditions for suboptimal solutions of multiobjective stochastic control problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 54(3), pages 425-438, December.
    • Handle: RePEc:spr:mathme:v:54:y:2001:i:3:p:425-438
    DOI: 10.1007/s001860100163
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