Pointwise Second-Order Necessary Conditions for Stochastic Optimal Controls, Part II: The General Case

DOI10.1137/15M1045478zbMath1371.93222arXiv1509.07995OpenAlexW2962959889MaRDI QIDQ5358864

Zhang, X., HaiSen Zhang

Publication date: 22 September 2017

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.07995

zbMATH Keywords

stochastic optimal controlvariational equationadjoint equationneedle variationpointwise second-order necessary condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (11)

First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems ⋮ Necessary conditions for stochastic optimal control problems in infinite dimensions ⋮ Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions ⋮ Second‐order necessary optimality conditions for discrete‐time stochastic systems ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Second-order necessary conditions for optimal control with recursive utilities ⋮ Pointwise Second-order Necessary Conditions for Stochastic Optimal Controls, Part I: The Case of Convex Control Constraint ⋮ A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems ⋮ A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems

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