First and second order necessary conditions for stochastic optimal control problems

Applied Mathematics and Optimization

Volumn 65, Issue 3, 2012, Pages 403-439

  Bonnans, J Frédéric ^a,b   Silva, Francisco J ^c  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b Laboratoire de Finance des Marchés D'Énergie   (France)

^c Dipartimento di Matematica Guido Castelnuovo   (Italy)

Author keywords

Final state constraints; First and second order optimality conditions; Polyhedric constraints; Stochastic optimal control; Variational approach

Indexed keywords

FINAL STATE CONSTRAINTS; POLYHEDRIC CONSTRAINTS; SECOND-ORDER OPTIMALITY CONDITIONS; STOCHASTIC OPTIMAL CONTROL; VARIATIONAL APPROACHES;

CONSTRAINT THEORY;

OPTIMAL CONTROL SYSTEMS;

EID: 84867252057     PISSN: 00954616     EISSN: 14320606     Source Type: Journal    
DOI: 10.1007/s00245-012-9162-4     Document Type: Article

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