Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems

DOI10.1007/s10957-023-02324-yzbMath1547.4902MaRDI QIDQ6596347

Gerhard-Wilhelm Weber, Fikriye Yılmaz, Hacer Öz Bakan

Publication date: 2 September 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsRunge-Kutta methodoptimal control problemTaylor expansionweak order condition

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Methods involving semicontinuity and convergence; relaxation (49J45) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Optimality conditions (49K99) Existence of optimal solutions to problems involving randomness (49J55)

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