Second-Order Necessary Conditions for Stochastic Optimal Control Problems

DOI10.1137/17M1148773zbMATH Open1380.93294OpenAlexW2785488188MaRDI QIDQ3133146FDOQ3133146

Authors: HaiSen Zhang, Xu Zhang 

Publication date: 13 February 2018

Published in: SIAM Review (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1148773

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zbMATH Keywords

Malliavin calculusadjoint equationstochastic optimal controlpointwise second-order necessary conditionvariational equation

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

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Cited In (17)

• Second order necessary conditions for optimal impulsive control problems
• Second-order necessary conditions for optimal control with recursive utilities
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Maximum principle for discrete-time stochastic optimal control problem and stochastic game
• A survey of second order necessary conditions for stochastic optimal controls
• Some results on pointwise second-order necessary conditions for stochastic optimal controls
• A general stochastic maximum principle for discrete-time mean-field optimal controls
• Second-order necessary optimality conditions in optimal impulsive control problems
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
• Maximum principle for discrete-time stochastic control problem of mean-field type
• Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations
• First and second order necessary conditions for stochastic optimal controls
• The general maximum principle for discrete-time stochastic control problems
• Controlled singular evolution equations and Pontryagin type maximum principle with applications
• Second‐order necessary optimality conditions for discrete‐time stochastic systems

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