First and second order necessary conditions for stochastic optimal controls

DOI10.1016/J.JDE.2016.11.041zbMATH Open1352.93100arXiv1603.08274OpenAlexW2962934438MaRDI QIDQ501633FDOQ501633

Authors: Hélène Frankowska, HaiSen Zhang, Xu Zhang 

Publication date: 9 January 2017

Published in: Journal of Differential Equations (Search for Journal in Brave)

Abstract: The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic differential equation, in which both drift and diffusion terms may contain the control variable and the set of controls is allowed to be nonconvex. Only one adjoint equation is introduced to derive the first order necessary condition; while only two adjoint equations are needed to state the second order necessary conditions for stochastic optimal controls.

Full work available at URL: https://arxiv.org/abs/1603.08274

Recommendations

• Necessary conditions for stochastic optimal control problems in infinite dimensions
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• First and second order necessary conditions for stochastic optimal control problems
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint

zbMATH Keywords

Malliavin calculusadjoint equationnecessary conditionsstochastic optimal controlvariational equationadjacent cone

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set-valued and variational analysis (49J53) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

• The Malliavin Calculus and Related Topics
• Variational Analysis
• A General Stochastic Maximum Principle for Optimal Control Problems
• Title not available (Why is that?)
• An Introductory Approach to Duality in Optimal Stochastic Control
• Backward Stochastic Differential Equations in Finance
• Applications to regular and bang-bang control. Second-order necessary and sufficient optimality conditions in calculus of variations and optimal control
• Set-valued analysis
• Title not available (Why is that?)
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• The High Order Maximal Principle and Its Application to Singular Extremals
• Necessary Conditions for Singular Extremals Involving Multiple Control Variables
• First and second order necessary conditions for stochastic optimal control problems
• Title not available (Why is that?)
• Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint
• A second-order maximum principle for singular optimal stochastic controls
• Stochastic differential inclusions and applications.
• A variational formula for stochastic controls and some applications
• Singular optimal control problems
• Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints
• Some inverse mapping theorems
• External solutions of Riemann-Stieltjes inequalities of linear optimal control
• Title not available (Why is that?)
• Variational approach to second-order optimality conditions for control problems with pure state constraints
• Higher order necessary conditions in optimal control theory
• Second order necessary conditions of optimality for stochastic systems with variable delay
• Second-Order Necessary Optimality Conditions for the Mayer Problem Subject to a General Control Constraint
• Title not available (Why is that?)
• Optimal Control Problems of Forward-Backward Stochastic Volterra Integral Equations with Closed Control Regions
• Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure

Cited In (18)

• Stochastic Optimal Control Problems with Control and Initial-Final States Constraints
• Second-order necessary conditions for optimal control with recursive utilities
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• A general stochastic maximum principle for discrete-time mean-field optimal controls
• On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
• First and second order necessary conditions for stochastic optimal control problems
• First order necessary condition for stochastic evolution control systems with random generators
• First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
• Second-Order Necessary Conditions for Optimal Control Problems with Endpoints-Constraints and Convex Control-Constraints
• 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 Stochastic Optimal Control Problems
• First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
• Optimality conditions for parabolic stochastic optimal control problems with boundary controls
• Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations
• Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case
• Second-order necessary condition for partially observed stochastic system with random jumps
• Second‐order necessary optimality conditions for discrete‐time stochastic systems

This page was built for publication: First and second order necessary conditions for stochastic optimal controls

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q501633)