Necessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equations

DOI10.1051/cocv/2020001zbMath1441.93349OpenAlexW2997611657MaRDI QIDQ5109187

Tian Xiao Wang

Publication date: 11 May 2020

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/cocv/2020001

zbMATH Keywords

maximum principlesstochastic Volterra integral equationsnon-convex control regionsecond-order adjoint processes

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Stochastic integral equations (60H20)

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