Second-order necessary condition for partially observed stochastic system with random jumps

DOI10.1016/J.SYSCONLE.2024.105713zbMATH Open1537.93083MaRDI QIDQ6540809FDOQ6540809

Authors: Tian Chen, Zongyuan Huang, Zhen Wu 

Publication date: 17 May 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

Recommendations

• Pointwise second-order necessary conditions for stochastic optimal control with jump diffusions
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• The second-order maximum principle for partially observed optimal controls
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• Some results on pointwise second-order necessary conditions for stochastic optimal controls

zbMATH Keywords

Malliavin calculusPoisson random measuresecond-order necessary conditionpartially observation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Controllability (93B05) Stochastic systems in control theory (general) (93E03)

Cites Work

• Maximum principles for optimal control of forward-backward stochastic differential equations with jumps
• A General Stochastic Maximum Principle for Optimal Control Problems
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• On the Separation Theorem of Stochastic Control
• The High Order Maximal Principle and Its Application to Singular Extremals
• Title not available (Why is that?)
• High Order Necessary Conditions for Optimality
• First and second order necessary conditions for stochastic optimal control problems
• Pointwise second-order necessary conditions for stochastic optimal controls. I: The case of convex control constraint
• A second-order maximum principle for singular optimal stochastic controls
• The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps
• Pointwise second-order necessary optimality conditions for the Mayer problem with control constraints
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• A general maximum principle for optimal control of forward-backward stochastic systems
• Higher order necessary conditions in optimal control theory
• First and second order necessary conditions for stochastic optimal controls
• General necessary conditions for partially observed optimal stochastic controls
• The Maximum Principle for Progressive Optimal Stochastic Control Problems with Random Jumps
• A Linear-Quadratic Optimal Control Problem of Forward-Backward Stochastic Differential Equations With Partial Information
• Linear-quadratic-Gaussian mean-field-game with partial observation and common noise
• Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
• Stochastic global maximum principle for optimization with recursive utilities
• Singular optimal controls for stochastic recursive systems under convex control constraint
• A second-order stochastic maximum principle for generalized mean-field singular control problem
• Pointwise second-order necessary conditions for stochastic optimal controls. II: The general case
• A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type
• Mean Field Games with Partial Observation
• The maximum principle for stochastic control problem with Markov chain in progressive structure
• Second order necessary conditions for optimal control problems of stochastic evolution equations

Cited In (1)

• Existence of a class of doubly perturbed stochastic functional differential equations with Poisson jumps

This page was built for publication: Second-order necessary condition for partially observed stochastic system with random jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6540809)