First and second order necessary conditions for stochastic optimal controls

Frankowska, Hélène; Zhang, Haisen; Xu, Zuyan

doi:10.48550/arxiv.1603.08274

2016

DOI: 10.48550/arxiv.1603.08274

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First and second order necessary conditions for stochastic optimal controls

Hélène Frankowska

Haisen Zhang

Zuyan Xu

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2019

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A Mini-Course on Stochastic Control

Lü

2019

Series in Contemporary Applied Mathematics

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This course is addressed to giving a short introduction to control theory of stochastic systems, governed by stochastic differential equations in both finite and infinite dimensions. We will mainly explain the new phenomenon and difficulties in the study of controllability and optimal control problems for these sort of equations. In particular, we will show by some examples that both the formulation of stochastic control problems and the tools to solve them may differ considerably from their deterministic counterpart.3 Controllability of stochastic (ordinary) differential equations 13 4 Pontryagin-type maximum principle for controlled stochastic (ordinary) differential equations 21 * This is a lecture notes of a short introduction to stochastic control. It was written for the LIASFMA

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A Mini-Course on Stochastic Control

Lü

2019

Series in Contemporary Applied Mathematics

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First and second order necessary conditions for stochastic optimal controls

Cited by 1 publication

References 23 publications

A Mini-Course on Stochastic Control

A Mini-Course on Stochastic Control

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