Abstract
In 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].
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© 2013 David González-Sánchez and Onésimo Hernández-Lerma
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González-Sánchez, D., Hernández-Lerma, O. (2013). The Inverse Optimal Control Problem. In: Discrete–Time Stochastic Control and Dynamic Potential Games. SpringerBriefs in Mathematics. Springer, Cham. https://doi.org/10.1007/978-3-319-01059-5_3
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DOI: https://doi.org/10.1007/978-3-319-01059-5_3
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