Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints

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 all...

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Veröffentlicht in:	Transactions of the American Mathematical Society 2019, Vol.372 (2), p.1289-1331
Hauptverfasser:	Frankowska, Hélène, Zhang, Haisen, Zhang, Xu
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics Optimization and Control
Online-Zugang:	Volltext
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