First and second order necessary conditions for stochastic optimal control problems
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Cited in
(31)- Sensitivity results in stochastic optimal control: a Lagrangian perspective
- Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
- Second-order necessary conditions for optimal control with recursive utilities
- Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
- Second-Order Necessary Conditions for Stochastic Optimal Control Problems
- Stochastic optimal control problems with control and initial-final states constraints
- Optimality conditions in variational form for non-linear constrained stochastic control problems
- A stochastic maximum principle for a stochastic differential game of a mean-field type
- State feedback control for stochastic regular linear quadratic tracking problem with input time delay
- Some results on pointwise second-order necessary conditions for stochastic optimal controls
- On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
- First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
- Singular optimal controls for stochastic recursive systems under convex control constraint
- First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
- Irregular LQG optimal control problem involving multiplicative noise
- Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
- A level-set approach for stochastic optimal control problems under controlled-loss constraints
- Singular optimal control problems with recursive utilities of mean-field type
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- On the convergence of the Sakawa-Shindo algorithm in stochastic control
- Second‐order necessary optimality conditions for discrete‐time stochastic systems
- First and second order necessary conditions for stochastic optimal controls
- Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
- A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
- Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
- Duality and approximation of stochastic optimal control problems under expectation constraints
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