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

DOI10.1137/14098627XzbMATH Open1337.49045arXiv1409.2783OpenAlexW2594623947MaRDI QIDQ5502188FDOQ5502188

HaiSen Zhang, Xu Zhang

Publication date: 18 August 2015

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

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.

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

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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)

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Cited In (21)

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

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