Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
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DOI: 10.1090/tran/7669
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… read more here.
Keywords: minimizers stochastic; control; local minimizers; optimality conditions ... See more keywords