Heyde, F.; Grecksch, W.; Tammer, Chr. - In: Mathematical Methods of Operations Research 54 (2001) 3, pp. 425-438
In this paper necessary and sufficient conditions for a multicriteria stochastic control problem are stated. Moreover the convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown. Copyright Springer-Verlag Berlin Heidelberg 2001