Establishes maximum principle for convex stochastic optimal control of partially and fully coupled FBSΔEs with finite-state uncertainty via adjoint difference equations.
It is easy to check that ˜bx (t − 1) − bx (t − 1) → 0 and [˜σix (t − 1) − σix (t − 1)] ˜I → 0 as ε → 0
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Maximum principle for stochastic optimal control problem of finite state forward-backward stochastic difference systems
Establishes maximum principle for convex stochastic optimal control of partially and fully coupled FBSΔEs with finite-state uncertainty via adjoint difference equations.