Abstract
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 language | American English |
|---|---|
| Pages (from-to) | 39-53 |
| Number of pages | 15 |
| Journal | Journal of Difference Equations and Applications |
| Volume | 19 |
| Issue number | 1 |
| DOIs | |
| State | Published - 2013 |
Bibliographical note
Funding Information:This research was partially supported by CONACyT grant 104001.
Keywords
- discrete-time optimal control
- dynamic welfare economics
- inverse optimal problem
- stochastic optimal control