First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints (Q2288038): Difference between revisions

Consider a stochastic optimal control problem represented by a stochastic differential equation with an additive Brownian motion term; moreover, expected cost functions of Bolza- and Mayer-type are taken into account, and state constraints along the trajectory and at the terminal time point \(T\) are involved. Using tools of set-valued analysis, set-valued random variables and stochastic processes, by local variational analysis, first and second order optimality conditions are derived.