摘要
This paper presents the necessary and sufficient conditions for a kind of discretetime robust stochastic optimal control problem with convex control domains.The classical variational method is invalid in this context because it is an“inf sup problem”.We obtain the variational inequality with a common reference probability by systematically using weak convergence approach and the minimax theorem.Moreover,a discrete-time robust investment problem is also studied where the explicit optimal control is given.
基金
supported by China Postdoctoral Science Foundation(Grant No.2024M761781)
the Natural Science Foundation of Shandong Province(Grant No.ZR2024QA186)
the Fundamental Research Funds for the Central Universities.
