An inverse optimal problem in discrete-time stochastic control

D. González-Sánchez, O. Hernández-Lerma

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


In this paper, we study an inverse optimal problem in discrete-time stochastic control. We give necessary and sufficient conditions for a solution to a system of stochastic difference equations to be the solution of a certain optimal control problem. Our results extend to the stochastic case the work of Dechert. In particular, we present a stochastic version of an important principle in welfare economics.

Original languageAmerican English
Pages (from-to)39-53
Number of pages15
JournalJournal of Difference Equations and Applications
Issue number1
StatePublished - 2013

Bibliographical note

Funding Information:
This research was partially supported by CONACyT grant 104001.


  • discrete-time optimal control
  • dynamic welfare economics
  • inverse optimal problem
  • stochastic optimal control


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