FIND ME ON

GitHub

LinkedIn

Stationary Radner Krainak Theorem

🌱

Theorem
StochasticControl

Assumptions

(c.5)(c.5)

For all γΓ\underline{\gamma}\in\Gamma s.t. J(γ)<J(\underline{\gamma})<\infty, the following RVs are integrable: uiL(ξ;γ(y))[γi(yi)γi(yi)],iN\nabla_{u^{i}}L(\xi;\underline{\gamma}^{*}(\mathbf{y}))[\gamma^{i}(y^{i})-\gamma^{i*}(y^{i})],\quad i\in\mathcal{N} ## (c.6)(c.6) Γi\Gamma^{i} is a Hilbert Space for each iNi\in\mathcal{N}, and J(γ)<J(\underline{\gamma})<\infty for all γΓ\underline{\gamma}\in\Gamma. Furthermore, Eξyi[uiL(ξ;γ(y))]ΓiiNE_{\xi|y^{i}}\left[ \nabla_{u^{i}}L(\xi;\underline{\gamma}^{*}(\mathbf{y})) \right]\in\Gamma^{i}\quad i\in\mathcal{N} # Theorem Let {J;Γi,iN}\{ J;\Gamma^{i},i\in\mathcal{N} \} be a static stochastic team problem which satisfies all of the hypotheses of Theorem 2.4.5, with the exception of (⭐). Instead let either (c.5)(c.5) or (c.6)(c.6) hold. Then, if γΓ\underline{\gamma}^{*}\in\mathbf{\Gamma} is a stationary policy it is also team-optimal. Such a policy is unique if L(ξ;u)L(\xi;\mathbf{u}) is strictly convex in u\mathbf{u}, a.s..