Some results on pointwise second-order necessary conditions for stochastic optimal controls

DOI10.1007/s11425-015-5080-7zbMath1338.93409arXiv1405.7111OpenAlexW2252450456MaRDI QIDQ283044

HaiSen Zhang, Zhang, X.

Publication date: 13 May 2016

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.7111

zbMATH Keywords

stochastic optimal controlMalliavin calculusneedle variationpointwise second-order necessary conditionPontryagin-type maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case ⋮ Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint ⋮ A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems

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• First and second order necessary conditions for stochastic optimal control problems
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• An Introductory Approach to Duality in Optimal Stochastic Control
• Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint
• High Order Necessary Conditions for Optimality
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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