Abstract
AbstractIn this chapter we study an inverse optimal control 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 OCP. Our results extend to the stochastic case the work of Dechert [21]. In particular, we present a stochastic version of an important principle in welfare economics. The presentation of this chapter is based on González–Sánchez and Hernández–Lerma [36].KeywordsInverse Optimal Control ProblemStochastic CaseStochastic VersionStochastic Euler Equations (SEE)Feasible PlanThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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