First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems

DOI10.1080/00207179.2021.1929498zbMath1500.93149OpenAlexW3161609309MaRDI QIDQ5043527

Teng Song, Bin Liu, Qing-Long Zhou

Publication date: 6 October 2022

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2021.1929498

zbMATH Keywords

necessary optimality conditionsdiscrete-time stochastic systemsdiscrete-time backward stochastic equationssingular and quasi-singular controls

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• First and second order necessary conditions for stochastic optimal control problems
• Stochastic maximum principle for distributed parameter systems
• Stochastic controls with terminal contingent conditions
• A new discrete analogue of Pontryagin's maximum principle
• First- and second-order necessary conditions with respect to components for discrete optimal control problems
• Necessary first-order and second-order optimality conditions in discrete-time stochastic systems
• A maximum principle for fully coupled stochastic control systems of mean-field type
• A maximum principle for stochastic control systems
• The necessary and sufficient conditions for optimality of discrete control systems
• A note on a singular optimal control problem
• The maximum principle for discrete-time control systems and applications to dynamic games
• On necessary optimality conditions in discrete control systems
• A Maximum Principle for Optimal Control of Discrete-Time Stochastic Systems With Multiplicative Noise
• On Some Extremal Problems in the Theory of Differential Equations with Applications to the Theory of Optimal Control
• An Introductory Approach to Duality in Optimal Stochastic Control
• Stochastic Optimal Control Problems with Control and Initial-Final States Constraints
• Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case
• Optimality conditions for discrete optimal control problems
• Discretional Convexity and the Maximum Principle for Discrete Systems

This page was built for publication: First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems