First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints

DOI10.1016/J.JDE.2019.09.045zbMath1440.93265arXiv1901.06517OpenAlexW2977281086WikidataQ127184796 ScholiaQ127184796MaRDI QIDQ2288038

Yanyan Li

Publication date: 16 January 2020

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.06517

zbMATH Keywords

stochastic optimal controlfirst and second order optimality conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (8)

Necessary optimality conditions for optimal control problems in Wasserstein spaces ⋮ First order necessary condition for stochastic evolution control systems with random generators ⋮ Control theory of stochastic distributed parameter systems: recent progress and open problems ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions ⋮ Risk-neutral multiobjective optimal control of random Volterra integral equations ⋮ A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator ⋮ A concise introduction to control theory for stochastic partial differential equations ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

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