First and second order necessary conditions for stochastic optimal control problems
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Publication:442561
DOI10.1007/s00245-012-9162-4zbMath1244.49045MaRDI QIDQ442561
Francisco J. Silva, Joseph Frédéric Bonnans
Publication date: 1 August 2012
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00537227/file/versioninria2.pdf
stochastic optimal control; variational approach; final state constraints; first and second order optimality conditions; polyhedric constraints