Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint

DOI10.1137/14098627XMaRDI QIDQ5502188zbMATH OpenOpenAlexFDO

Authors HaiSen Zhang, Xu Zhang

Publication date 18 August 2015

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

Full work available at URL https://arxiv.org/abs/1409.2783

zbMATH Keywords

Malliavin calculusadjoint equationstochastic optimal controlvariational equationpointwise second-order necessary conditions

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Abstract: This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion terms may contain the control variable but the control region is assumed to be convex. Under some assumptions in terms of Malliavin calculus, we establish the desired necessary condition for stochastic singular optimal controls in the classical sense.

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Cited in

(24)

• Second-order necessary conditions for optimal control with recursive utilities
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• Stochastic optimal control problems with control and initial-final states constraints
• Some results on pointwise second-order necessary conditions for stochastic optimal controls
• A global maximum principle for optimal control of general mean-field forward-backward stochastic systems with jumps
• On pointwise second-order maximum principle for optimal stochastic controls of general mean-field type
• Singular optimal controls for stochastic recursive systems under convex control constraint
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
• A second-order necessary condition for risk-sensitive mean-field type control
• Necessary conditions in stochastic linear quadratic problems and their applications
• A survey of second order necessary conditions for stochastic optimal controls
• Irregular LQG optimal control problem involving multiplicative noise
• Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
• First and second order necessary conditions for stochastic optimal control problems
• Singular optimal control problems with recursive utilities of mean-field type
• Second-order necessary condition for partially observed stochastic system with random jumps
• Second order necessary conditions for optimal control problems of stochastic evolution equations
• A second-order stochastic maximum principle for generalized mean-field singular control problem
• The difference and unity of irregular LQ control and standard LQ control and its solution
• First and second order necessary conditions for stochastic optimal controls
• A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
• Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints
• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions

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