Stochastic optimal control problems with control and initial-final states constraints

DOI10.1137/17M112186XMaRDI QIDQ4643309zbMATH OpenWikidataFDO

Authors Hélène Frankowska, HaiSen Zhang, Xu Zhang

Publication date 24 May 2018

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

Full work available at URL https://doi.org/10.1137/17M112186X

zbMATH Keywords

normal first order necessary optimality conditionssecond order necessary conditionssecond order tangentsstochastic optimal control

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(24)

• Stochastic control with exit time and constraints, application to small time attainability of sets
• First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
• Regularity of multipliers for multiobjective optimal control problems governed by evolution equations
• Second-Order Necessary Conditions for Stochastic Optimal Control Problems
• scientific article; zbMATH DE number 3854947 (Why is no real title available?)
• scientific article; zbMATH DE number 3918246 (Why is no real title available?)
• Optimal control versus stochastic target problems: an equivalence result
• Optimal control of stochastic sequences with constraints
• First and second order necessary conditions for stochastic optimal control problems
• Second order necessary conditions for optimal control problems of stochastic evolution equations
• Sequential convex programming for non-linear stochastic optimal control
• First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
• Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
• An Optimal Control Problem with Terminal Stochastic Linear Complementarity Constraints
• Second‐order necessary optimality conditions for discrete‐time stochastic systems
• First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
• Carathéodory theory and a priori estimates for continuity inclusions in the space of probability measures
• Robust pointwise second-order necessary conditions for singular stochastic optimal control with model uncertainty
• Properties for transposition solutions to operator-valued BSEEs, and applications to robust second order necessary conditions for controlled SEEs
• An efficient gradient projection method for stochastic optimal control problem with expected integral state constraint
• Rough stochastic Pontryagin maximum principle and an indirect shooting method
• Mean-field limit for stochastic control problems under state constraint
• Necessary optimality conditions for optimal control problems in Wasserstein spaces
• On the infinite time solution to state-constrained stochastic optimal control problems

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