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<p>In this note we consider a problem of stochastic optimal control with infinite-time horizon for diffusion-type processes given by SDE with random coefficients. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables described by BSDEs with the driver defined by the Hamilton–Pontryagin function.</p>

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Seierstad Sufficient Conditions for Stochastic Optimal Control Problems with Infinite Horizon

  • 期刊论文

  • 发表日期：

    2025年12月10日

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  • Anton O. Belyakov,
  • Yuri M. Kabanov,
  • Ivan A. Terekhov,
  • Maxim M. Savinov

摘要

In this note we consider a problem of stochastic optimal control with infinite-time horizon for diffusion-type processes given by SDE with random coefficients. We present analogues of the Seierstad sufficient conditions of overtaking optimality based on the dual variables described by BSDEs with the driver defined by the Hamilton–Pontryagin function.