Second-Order Necessary Conditions for Stochastic Optimal Control Problems

DOI10.1137/17M1148773zbMath1380.93294OpenAlexW2785488188MaRDI QIDQ3133146

Zhang, X., HaiSen Zhang

Publication date: 13 February 2018

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1148773

zbMATH Keywords

stochastic optimal controlMalliavin calculusvariational equationadjoint equationpointwise second-order necessary condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Maximum principle for discrete-time stochastic optimal control problem and stochastic game ⋮ Maximum principle for discrete-time stochastic control problem of mean-field type ⋮ Necessary conditions for stochastic optimal control problems in infinite dimensions ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Controlled singular evolution equations and Pontryagin type maximum principle with applications ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

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