First and second order necessary conditions for stochastic optimal controls

DOI10.1016/J.JDE.2016.11.041zbMATH Open1352.93100OpenAlexW2962934438MaRDI 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

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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)

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Cited In (25)

• Second-order necessary conditions for optimal control with recursive utilities
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Necessary optimality conditions of the second oder in a stochastic optimal control problem with delay argument
• First order necessary optimal conditions in Gursat-Darboux stochastic systems
• A survey of second order necessary conditions for stochastic optimal controls
• Second order necessary conditions for optimal control problems of stochastic evolution equations
• Some results on pointwise second-order necessary conditions for stochastic optimal controls
• 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
• Stochastic optimal control problems with control and initial-final states constraints
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• 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
• First-order and second-order necessary optimality conditions for discrete-time stochastic systems with delay
• Second-order necessary condition for partially observed stochastic system with random jumps
• Necessary first-order and second-order optimality conditions in discrete-time stochastic systems
• Second‐order necessary optimality conditions for discrete‐time stochastic systems

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