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

DOI10.1007/S11425-015-5080-7zbMATH Open1338.93409arXiv1405.7111OpenAlexW2252450456MaRDI QIDQ283044FDOQ283044

Authors: HaiSen Zhang, Xu Zhang 

Publication date: 13 May 2016

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

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.

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

Recommendations

• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• A survey of second order necessary conditions for stochastic optimal controls
• First and second order necessary conditions for stochastic optimal controls

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)

Cites Work

• The Malliavin Calculus and Related Topics
• A General Stochastic Maximum Principle for Optimal Control Problems
• An Introductory Approach to Duality in Optimal Stochastic Control
• Title not available (Why is that?)
• Title not available (Why is that?)
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• High Order Necessary Conditions for Optimality
• First and second order necessary conditions for stochastic optimal control problems
• Title not available (Why is that?)
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• A second-order maximum principle for singular optimal stochastic controls

Cited In (5)

• Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• 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
• Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case

This page was built for publication: Some results on pointwise second-order necessary conditions for stochastic optimal controls

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q283044)