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

DOI10.1007/S11425-015-5080-7MaRDI QIDQ283044zbMATH OpenOpenAlexFDO

Authors HaiSen Zhang, Xu Zhang

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

Malliavin calculusstochastic optimal controlneedle variationpointwise second-order necessary conditionPontryagin-type maximum principle

Mathematics Subject Classification ID

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

Abstract: The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into both the drift and the diffusion terms. When the control region is convex, a pointwise second-order necessary condition for stochastic singular optimal controls in the classical sense is established; while when the control region is allowed to be nonconvex, we obtain a pointwise second-order necessary condition for stochastic singular optimal controls in the sense of Pontryagin-type maximum principle. It is found that, quite different from the first-order necessary conditions, the correction part of the solution to the second-order adjoint equation appears in the pointwise second-order necessary conditions whenever the diffusion term depends on the control variable, even if the control region is convex.

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Cited in

(8)

• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
• A survey of second order necessary conditions for stochastic optimal controls
• Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
• Second-order necessary condition for partially observed stochastic system with random jumps
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints

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