First and second order necessary conditions for stochastic optimal control problems

DOI10.1007/s00245-012-9162-4zbMath1244.49045OpenAlexW2034200236MaRDI 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

zbMATH Keywords

stochastic optimal controlvariational approachfinal state constraintsfirst and second order optimality conditionspolyhedric constraints

Mathematics Subject Classification ID

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

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