Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems
From MaRDI portal
Publication:5320751
DOI10.1137/070681053zbMath1167.49024arXiv0807.4297MaRDI QIDQ5320751
Publication date: 22 July 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0807.4297
maximum principle; stochastic differential equation; variational inequality; relaxed control; adjoint process; strict control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93C10: Nonlinear systems in control theory
93E20: Optimal stochastic control
49K45: Optimality conditions for problems involving randomness
Related Items
A general optimality conditions for stochastic control problems of jump diffusions, Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations, The relaxed optimal control problem for mean-field SDEs systems and application, On optimal control problem for backward stochastic doubly systems, Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems, The general relaxed control problem of fully coupled forward-backward doubly system, Necessary conditions of optimality for some stochastic integrodifferential equations of neutral type on Hilbert spaces, Stochastic maximum principle in the mean-field controls, The stochastic maximum principle for relaxed control problem with regime-switching, Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence, Stochastic maximum principle for nonlinear optimal control problem of switching systems, Stochastic neutral evolution equations on Hilbert spaces with partially observed relaxed control and their necessary conditions of optimality, Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information, Necessary and Sufficient Near-Optimal Conditions for Mean-Field Singular Stochastic Controls, A zero-sum electromagnetic evader–interrogator differential game with uncertainty, Optimality conditions of controlled backward doubly stochastic differential equations