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An inverse optimal problem in discrete-time stochastic control |
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| Authors: | David González-Sánchez Onésimo Hernández-Lerma |
| Institution: | 1. Mathematics Department , CINVESTAV-IPN , Apartado Postal 14-740, México , D.F. , 07000 , Mexico david.glzsnz@gmail.com;3. Mathematics Department , CINVESTAV-IPN , Apartado Postal 14-740, México , D.F. , 07000 , Mexico |
| 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. |
| Keywords: | inverse optimal problem stochastic optimal control discrete-time optimal control dynamic welfare economics |