Second-Order Necessary Conditions for Stochastic Optimal Control Problems
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Cites work
- A General Stochastic Maximum Principle for Optimal Control Problems
- A second-order condition that strengthens Pontryagin's maximum principle
- A second-order maximum principle for singular optimal stochastic controls
- A variational formula for stochastic controls and some applications
- An Introductory Approach to Duality in Optimal Stochastic Control
- Applications to regular and bang-bang control. Second-order necessary and sufficient optimality conditions in calculus of variations and optimal control
- Backward Stochastic Differential Equations in Finance
- Existence and Lipschitz regularity of solutions to Bolza problems in optimal control
- First and second order necessary conditions for stochastic optimal control problems
- First and second order necessary conditions for stochastic optimal controls
- General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions
- High Order Necessary Conditions for Optimality
- Higher order necessary conditions in optimal control theory
- scientific article; zbMATH DE number 3167340 (Why is no real title available?)
- scientific article; zbMATH DE number 3577134 (Why is no real title available?)
- scientific article; zbMATH DE number 1304739 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- Necessary Conditions for Singular Extremals Involving Multiple Control Variables
- Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
- Nonlinear filtering and stochastic control. Proceedings of the 3rd 1981 Session of the Centro Internazionale Matematico Estivo (C.I.M.E.), Held at Cortona, July 1-10, 1981
- Optimal Control Problems with Set-Valued Control and State Constraints
- Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
- Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
- Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints
- Regularity Properties of Optimal Controls
- Second order necessary conditions of optimality for stochastic systems with variable delay
- Second-order analysis for optimal control problems with pure state constraints and mixed control-state constraints
- Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure
- Singular optimal control problems
- Singular optimal control: The linearquadratic problem
- Some results on pointwise second-order necessary conditions for stochastic optimal controls
- Stochastic optimal control problems with control and initial-final states constraints
- The High Order Maximal Principle and Its Application to Singular Extremals
- The Malliavin Calculus and Related Topics
- Variational approach to second-order optimality conditions for control problems with pure state constraints
Cited in
(21)- Second-order necessary optimality conditions in optimal impulsive control problems
- Second order necessary conditions for optimal impulsive control problems
- Controlled singular evolution equations and Pontryagin type maximum principle with applications
- Maximum principle for discrete-time stochastic optimal control problem and stochastic game
- Maximum principle for discrete-time stochastic control problem of mean-field type
- Necessary conditions for stochastic optimal control problems in infinite dimensions
- Second-order necessary conditions for optimal control with recursive utilities
- Some results on pointwise second-order necessary conditions for stochastic optimal controls
- Second order necessary conditions for optimal control problems of stochastic evolution equations
- First and second order necessary conditions for stochastic optimal controls
- First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
- A survey of second order necessary conditions for stochastic optimal controls
- 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
- Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
- Second‐order necessary optimality conditions for discrete‐time stochastic systems
- The general maximum principle for discrete-time stochastic control problems
- Second-order necessary condition for partially observed stochastic system with random jumps
- A general stochastic maximum principle for discrete-time mean-field optimal controls
- Robust pointwise second-order necessary conditions for singular stochastic optimal control with model uncertainty
- Properties for transposition solutions to operator-valued BSEEs, and applications to robust second order necessary conditions for controlled SEEs
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