Second-order necessary conditions for optimal control with recursive utilities

DOI10.1007/s10957-019-01518-7zbMath1421.49024arXiv1802.09242OpenAlexW2963416728WikidataQ128095278 ScholiaQ128095278MaRDI QIDQ2317839

Qingxin Meng, Yuchao Dong

Publication date: 13 August 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.09242

zbMATH Keywords

maximum principlevariation equationadjoint processesrecursive optimal control

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Optimality conditions for problems involving randomness (49K45) Stochastic analysis (60H99)

Related Items

Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions, Partially observed nonzero-sum differential game of BSDEs with delay and applications, A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• First and second order necessary conditions for stochastic optimal control problems
• A general maximum principle for optimal control of forward-backward stochastic systems
• First and second order necessary conditions for stochastic optimal controls
• A maximum principle for SDEs of mean-field type
• A second-order maximum principle for singular optimal stochastic controls
• Sufficient stochastic maximum principle for the optimal control of jump diffusions and applications to finance
• A variational formula for stochastic controls and some applications
• Necessary conditions for optimality of singular controls
• Singular optimal control problems
• Stochastic controls with terminal contingent conditions
• Stochastic global maximum principle for optimization with recursive utilities
• Backward stochastic differential equations and applications to optimal control
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• A General Stochastic Maximum Principle for Optimal Control Problems
• The High Order Maximal Principle and Its Application to Singular Extremals
• An Introductory Approach to Duality in Optimal Stochastic Control
• Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint
• High Order Necessary Conditions for Optimality
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems