Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint

DOI10.1137/14098627XzbMath1337.49045arXiv1409.2783OpenAlexW2594623947MaRDI QIDQ5502188

HaiSen Zhang, Zhang, X.

Publication date: 18 August 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.2783

zbMATH Keywords

stochastic optimal controlMalliavin calculusvariational equationadjoint equationpointwise second-order necessary conditions

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) Optimality conditions for problems involving randomness (49K45)

Related Items (16)

Some results on pointwise second-order necessary conditions for stochastic optimal controls ⋮ Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions ⋮ Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case ⋮ Irregular LQG optimal control problem involving multiplicative noise ⋮ A second-order stochastic maximum principle for generalized mean-field singular control problem ⋮ First and second order necessary conditions for stochastic optimal controls ⋮ A stochastic maximum principle for general controlled systems driven by fractional Brownian motions ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints ⋮ Necessary conditions in stochastic linear quadratic problems and their applications ⋮ Second-order necessary conditions for optimal control with recursive utilities ⋮ The difference and unity of irregular LQ control and standard LQ control and its solution ⋮ A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems ⋮ A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems

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