First and second order necessary conditions for stochastic optimal controls

DOI10.1016/J.JDE.2016.11.041MaRDI QIDQ501633zbMATHOpenAlexFDO

Authors Hélène Frankowska, HaiSen Zhang, Xu Zhang

Publication date 9 January 2017

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

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

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)

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.

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

Cites work

• scientific article; zbMATH DE number 3167340 (Why is no real title available?)
• scientific article; zbMATH DE number 3577134 (Why is no real title available?)
• scientific article; zbMATH DE number 1304739 (Why is no real title available?)
• scientific article; zbMATH DE number 2073525 (Why is no real title available?)
• scientific article; zbMATH DE number 3797648 (Why is no real title available?)
• A General Stochastic Maximum Principle for Optimal Control Problems
• A second-order maximum principle for singular optimal stochastic controls
• A variational formula for stochastic controls and some applications
• An Introductory Approach to Duality in Optimal Stochastic Control
• Applications to regular and bang-bang control. Second-order necessary and sufficient optimality conditions in calculus of variations and optimal control
• Backward Stochastic Differential Equations in Finance
• External solutions of Riemann-Stieltjes inequalities of linear optimal control
• First and second order necessary conditions for stochastic optimal control problems
• Higher order necessary conditions in optimal control theory
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
• Necessary Conditions for Singular Extremals Involving Multiple Control Variables
• Optimal control problems of forward-backward stochastic Volterra integral equations with closed control regions
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints
• 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
• Second-order necessary/sufficient conditions for optimal control problems in the absence of linear structure
• Set-valued analysis
• Singular optimal control problems
• Some inverse mapping theorems
• Stochastic differential inclusions and applications.
• The High Order Maximal Principle and Its Application to Singular Extremals
• The Malliavin Calculus and Related Topics
• Variational Analysis
• Variational approach to second-order optimality conditions for control problems with pure state constraints

Cited in

(25)

• Second-Order Necessary Conditions for Optimal Control Problems with Endpoints-Constraints and Convex Control-Constraints
• Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
• Second-order necessary conditions for optimal control with recursive utilities
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• Stochastic optimal control problems with control and initial-final states constraints
• Optimality conditions for parabolic stochastic optimal control problems with boundary controls
• First order necessary optimal conditions in Gursat-Darboux stochastic systems
• 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-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
• A survey of second order necessary conditions for stochastic optimal controls
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• First and second order necessary conditions for stochastic optimal control problems
• Necessary optimality conditions of the second oder in a stochastic optimal control problem with delay argument
• Necessary first-order and second-order optimality conditions in discrete-time stochastic systems
• Second-order necessary condition for partially observed stochastic system with random jumps
• Second order necessary conditions for optimal control problems of stochastic evolution equations
• First-order and second-order necessary optimality conditions for discrete-time stochastic systems with delay
• Second‐order necessary optimality conditions for discrete‐time stochastic systems
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• First order necessary condition for stochastic evolution control systems with random generators
• First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems

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)