Second-order necessary conditions for optimal control with recursive utilities
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Publication:2317839
DOI10.1007/s10957-019-01518-7zbMath1421.49024arXiv1802.09242OpenAlexW2963416728WikidataQ128095278 ScholiaQ128095278MaRDI QIDQ2317839
Publication date: 13 August 2019
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.09242
Set-valued and variational analysis (49J53) Optimality conditions for problems involving randomness (49K45) Stochastic analysis (60H99)
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Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions, Partially observed nonzero-sum differential game of BSDEs with delay and applications, A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
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