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The main purpose of this work is to establish some first and second order necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints. The control… Click to show full abstract
The main purpose of this work is to establish some first and second order necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints. The control may affect both the drift and the diffusion terms of the systems and the control regions are allowed to be nonconvex. A stochastic inward pointing condition is proposed to ensure the normality of the corresponding necessary conditions.
Keywords:
minimizers stochastic;
control;
local minimizers;
optimality conditions;
necessary optimality;
conditions local
Journal Title: Transactions of the American Mathematical Society
Year Published: 2019
Link to full text (if available)
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Journal Title: Transactions of the American Mathematical Society
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!