First-order and second-order necessary optimality conditions for discrete-time stochastic systems with delay

DOI10.1093/imamci/dnac010zbMath1496.93129OpenAlexW4285154334MaRDI QIDQ5087216

Teng Song, Bin Liu

Publication date: 8 July 2022

Published in: IMA Journal of Mathematical Control and Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imamci/dnac010

zbMATH Keywords

necessary optimality conditionsdiscrete-time stochastic systemsquasi-singular controldiscrete-time backward stochastic equations

Mathematics Subject Classification ID

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

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