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Article Dans Une Revue Journal of Differential Equations Année : 2017

First and second order necessary conditions for stochastic optimal controls

Haisen Zhang
  • Fonction : Auteur
  • PersonId : 1157096
Xu Zhang
  • Fonction : Auteur
  • PersonId : 1157097

Résumé

The main purpose of this paper is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic differential equation, in which both drift and diffusion terms may contain the control variable and the set of controls is allowed to be nonconvex. Only one adjoint equation is introduced to derive the first order necessary condition; while only two adjoint equations are needed to state the second order necessary conditions for stochastic optimal controls.
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Dates et versions

hal-03753936 , version 1 (19-08-2022)

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Hélène Frankowska, Haisen Zhang, Xu Zhang. First and second order necessary conditions for stochastic optimal controls. Journal of Differential Equations, 2017, 268 (6), pp.2949-3015. ⟨10.1016/j.jde.2019.09.045⟩. ⟨hal-03753936⟩
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