Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints

DOI10.1090/tran/7669zbMath1417.93335OpenAlexW2911536888WikidataQ128442646 ScholiaQ128442646MaRDI QIDQ5222867

HaiSen Zhang, Zhang, X., Hélène Frankowska

Publication date: 4 July 2019

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tran/7669

zbMATH Keywords

necessary optimality conditionsstochastic optimal controllocal minimizerinward pointing condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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