IEEE Transactions on Automatic Control, Vol.60, No.4, 1121-1126, 2015
A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
The maximum principle (MP) for the discrete-time stochastic optimal control problems is proved. It is shown that the adjoint equations of the MP are a pair of backward stochastic difference equations.
Keywords:Backward stochastic difference equations;discrete-time stochastic systems;maximum principle