Optimality conditions in variational form for non-linear constrained stochastic control problems
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Publication:827552
DOI10.3934/mcrf.2020008zbMath1452.90230arXiv1802.03965OpenAlexW2996313021WikidataQ126412852 ScholiaQ126412852MaRDI QIDQ827552
Publication date: 13 January 2021
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.03965
stochastic optimal controloptimality conditionsrelaxationaugmented Lagrangian methodmean-field-type control
Stochastic programming (90C15) Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Optimality conditions (49K99)
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