First and second order necessary conditions for stochastic optimal controls

DOI10.1016/j.jde.2016.11.041zbMath1352.93100arXiv1603.08274OpenAlexW2962934438MaRDI QIDQ501633

Hélène Frankowska, Zhang, X., HaiSen Zhang

Publication date: 9 January 2017

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.08274

zbMATH Keywords

stochastic optimal controlMalliavin calculusvariational equationnecessary conditionsadjoint equationadjacent cone

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Optimality conditions for problems involving randomness (49K45)

Related Items (12)

Necessary conditions for stochastic optimal control problems in infinite dimensions ⋮ First order necessary condition for stochastic evolution control systems with random generators ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case ⋮ First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems ⋮ Stochastic Optimal Control Problems with Control and Initial-Final States Constraints ⋮ First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints ⋮ Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints ⋮ Second-order necessary conditions for optimal control with recursive utilities ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems ⋮ Second-Order Necessary Conditions for Optimal Control Problems with Endpoints-Constraints and Convex Control-Constraints

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