Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

DOI10.1137/20M1343762zbMath1478.93738arXiv1811.07337OpenAlexW3194626146MaRDI QIDQ5012324

Qi Lü, HaiSen Zhang, Zhang, X.

Publication date: 1 September 2021

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

Full work available at URL: https://arxiv.org/abs/1811.07337

zbMATH Keywords

stochastic optimal controlMalliavin calculussecond order necessary conditionoperator-valued backward stochastic evolution equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (3)

Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Control theory of stochastic distributed parameter systems: recent progress and open problems ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions

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