{"ID":2878853,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2508.17249","arxiv_id":"2508.17249","title":"Maximum principle for discrete-time robust stochastic optimal control problem","abstract":"This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an \"inf sup problem\", the classical variational method is invalid. 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.","short_abstract":"This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an \"inf sup problem\", the classical variational method is invalid. We obtain the variational inequality with a common reference probability by s...","url_abs":"https://arxiv.org/abs/2508.17249","url_pdf":"https://arxiv.org/pdf/2508.17249v1","authors":"[\"Wei He\"]","published":"2025-08-24T08:18:11Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"math.PR\"]","methods":"[]","has_code":false}