Maximum principle for discrete-time stochastic optimal control problem and stochastic game

Abstract

<p style='text-indent:20px;'>This paper is first concerned with one kind of discrete-time stochastic optimal control problem with convex control domains, for which necessary condition in the form of Pontryagin's maximum principle and sufficient condition of optimality are derived. The results are then extended to two kinds of discrete-time stochastic games. Two illustrative examples are studied, for which the explicit optimal strategies are given. This paper establishes a rigorous version of discrete-time stochastic maximum principle in a clear and concise way and paves a road for further related topics.</p>