Stochastic Optimal Control Problems with Control and Initial-Final States Constraints

DOI10.1137/17M112186XzbMath1391.93294WikidataQ129803181 ScholiaQ129803181MaRDI QIDQ4643309

Zhang, X., HaiSen Zhang, Hélène Frankowska

Publication date: 24 May 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

stochastic optimal controlsecond order necessary conditionssecond order tangentsnormal first order necessary optimality conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

Sequential convex programming for non-linear stochastic optimal control ⋮ First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems ⋮ Necessary optimality conditions for optimal control problems in Wasserstein spaces ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems ⋮ Regularity of multipliers for multiobjective optimal control problems governed by evolution equations ⋮ First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints ⋮ Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems

Cites Work

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