A second-order maximum principle for singular optimal stochastic controls

DOI10.3934/DCDSB.2010.14.1581zbMath1219.93147OpenAlexW2011447804MaRDI QIDQ618964

Shanjian Tang

Publication date: 17 January 2011

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2010.14.1581

zbMATH Keywords

first and second adjoint processessecond-order maximum principlesingular optimal stochastic controlspike variationvector-valued measure theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimality conditions for problems involving randomness (49K45)

Related Items (12)

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 ⋮ A second-order stochastic maximum principle for generalized mean-field singular control problem ⋮ First and second order necessary conditions for stochastic optimal controls ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Stochastic singular optimal control problem of switching systems with constraints ⋮ Second-order necessary conditions for optimal control with recursive utilities ⋮ Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint ⋮ A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems ⋮ 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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