Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint (Q5502188)
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scientific article; zbMATH DE number 6473222
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| English | Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint |
scientific article; zbMATH DE number 6473222 |
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Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint (English)
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18 August 2015
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stochastic optimal control
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pointwise second-order necessary conditions
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Malliavin calculus
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variational equation
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adjoint equation
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