Necessary and Sufficient Optimality Conditions for Relaxed and Strict Control Problems

DOI10.1137/070681053MaRDI QIDQ5320751zbMATH OpenOpenAlexFDO

Authors Seïd Bahlali

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

zbMATH Keywords

stochastic differential equationmaximum principlevariational inequalityrelaxed controladjoint processstrict control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Nonlinear systems in control theory (93C10) Optimal stochastic control (93E20)

Abstract: We consider a stochastic control problem where the set of strict (classical) controls is not necessarily convex, and the system is governed by a nonlinear backward stochastic differential equation. By introducing a new approach, we establish necessary as well as sufficient conditions of optimality for two models. The first concerns the relaxed controls, who are measure-valued processes. The second is a particular case of the first and relates to strict control problems.

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Cited in

(23)

• The stochastic maximum principle for relaxed control problem with regime-switching
• Stratifiable families of extremals and sufficient conditions for optimality in optimal control problems
• A general optimality conditions for stochastic control problems of jump diffusions
• Necessary conditions of optimality for some stochastic integrodifferential equations of neutral type on Hilbert spaces
• Stochastic controls of relaxed-singular problems
• Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations
• Stochastic maximum principle in the mean-field controls
• A zero-sum electromagnetic evader–interrogator differential game with uncertainty
• Necessary conditions for optimality in relaxed stochastic control problems
• Centralized systemic risk control in the interbank system: weak formulation and gamma-convergence
• The relaxed optimal control problem for mean-field SDEs systems and application
• Stochastic neutral evolution equations on Hilbert spaces with partially observed relaxed control and their necessary conditions of optimality
• Approximation and optimality necessary conditions in relaxed stochastic control problems
• Stochastic maximum principle for nonlinear optimal control problem of switching systems
• On optimal control problem for backward stochastic doubly systems
• Necessary and sufficient optimality conditions for relaxed and strict control of forward-backward doubly SDEs with jumps under full and partial information
• Stochastic maximum principle for mixed regular-singular control problems of forward-backward systems
• scientific article; zbMATH DE number 4140657 (Why is no real title available?)
• Necessary conditions for adverse control problems expressed by relaxed derivatives
• The general relaxed control problem of fully coupled forward-backward doubly system
• Relaxed derivatives and extremality conditions in optimal control
• Necessary and sufficient near-optimal conditions for mean-field singular stochastic controls
• Optimality conditions of controlled backward doubly stochastic differential equations

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