Necessary first-order and second-order optimality conditions in discrete-time stochastic systems

DOI10.1007/s10957-019-01478-yzbMath1422.49029OpenAlexW2912324827WikidataQ128367506 ScholiaQ128367506MaRDI QIDQ2322365

Nazim Idris Mahmudov

Publication date: 4 September 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-019-01478-y

zbMATH Keywords

necessary conditionsdiscrete-time stochastic systemsstochastic linear quadratic problemdiscrete-time backward stochastic equations

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (5)

First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Stochastic maximum principle for discrete time mean‐field optimal control problems ⋮ A maximum principle for fully coupled controlled forward-backward stochastic difference systems of mean-field type ⋮ Exponential stability and stabilization of fractional stochastic degenerate evolution equations in a Hilbert space: subordination principle

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