Stochastic multicriterion optimal control problems

The Theory of Cooperative N-Person Stochastic Differential Games is shown to be applicable for solving a Multicriterion Stochastic Optimal Control Problem as a game without sidepayments and with equal information to each of the players. Utilizing the Mash-Harsanyi solution for such a game, a noninferior control law can be obtained as the solution to the Multicriterion Stochastic Optimal Control Problem. An example with linear dynamics and two quadratic criteria is solved completely. The validity of the Separation Principle to this class of problems is a direct consequence of the equal information restriction to each of the players.