Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints

DOI10.1090/TRAN/7669zbMATH Open1417.93335OpenAlexW2911536888WikidataQ128442646 ScholiaQ128442646MaRDI QIDQ5222867FDOQ5222867

HaiSen Zhang, Xu Zhang, Hélène Frankowska

Publication date: 4 July 2019

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tran/7669

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zbMATH Keywords

stochastic optimal controlnecessary optimality conditionslocal minimizerinward pointing condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (19)

• A note on the existence and optimal control for mixed Volterra-Fredholm-type integrodifferential dispersion system of third order
• Title not available (Why is that?)
• Second order necessary conditions for optimal control problems of evolution equations involving final point equality constraints
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
• Sample average approximation for stochastic programming with equality constraints
• Sufficient conditions for local optimality in multidimensional control problems with state restrictions
• A level-set approach for stochastic optimal control problems under controlled-loss constraints
• Adjoint-based calibration of nonlinear stochastic differential equations
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
• New discussion concerning to optimal control for semilinear population dynamics system in Hilbert spaces
• Strong Local Minimizers in Optimal Control Problems with State Constraints: Second-Order Necessary Conditions
• Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations
• Risk-neutral multiobjective optimal control of random Volterra integral equations
• Optimal control of the Fokker-Planck equation under state constraints in the Wasserstein space
• Second-order necessary condition for partially observed stochastic system with random jumps
• Regularity of multipliers for multiobjective optimal control problems governed by evolution equations
• Towards a mathematical theory of behavioral swarms
• Optimal control of SDEs with expected path constraints and related constrained FBSDEs

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