Second order necessary conditions of optimality for stochastic systems with variable delay

DOI10.1090/S0094-9000-2012-00837-5zbMath1238.93122OpenAlexW2053260889MaRDI QIDQ2890714

Cherkez A. Agaeva

Publication date: 11 June 2012

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2012-00837-5

zbMATH Keywords

singular controlsnecessary condition of optimalitystochastic control problemstochastic differential equations with delayadjoint stochastic differential equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case ⋮ First and second order necessary conditions for stochastic optimal controls ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems

Cites Work

• Partially observable linear systems under dependent noises
• Nonconvex minimization problems
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Second order necessary conditions of optimality for stochastic systems with variable delay