Weak second-order conditions of Runge-Kutta method for stochastic optimal control problems
DOI10.1007/S10957-023-02324-YzbMATH Open1547.4902MaRDI QIDQ6596347FDOQ6596347
Authors: F. Yılmaz, Hacer Öz Bakan, Gerhard-Wilhelm Weber 
Publication date: 2 September 2024
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
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stochastic differential equationsoptimal control problemRunge-Kutta methodTaylor expansionweak order condition
Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Methods involving semicontinuity and convergence; relaxation (49J45) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions (49K99)
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