NECESSARY OPTIMALITY CONDITIONS FOR LOCAL MINIMIZERS OF STOCHASTIC OPTIMAL CONTROL PROBLEMS WITH STATE CONSTRAINTS

被引：23

作者：

Frankowska, Helene ^{[1
]}

Zhang, Haisen ^{[1
,2
,3
]}

Zhang, Xu ^{[4
]}

机构：

[1] Sorbonne Univ, CNRS, IMJ, PRG, Case 247,4 Pl Jussieu, F-75252 Paris, France

[2] Sichuan Normal Univ, Sch Math Sci, Chengdu 610066, Sichuan, Peoples R China

[3] Southwest Univ, Sch Math Sci, Chongqing 400715, Peoples R China

[4] Sichuan Univ, Sch Math, Chengdu 610064, Sichuan, Peoples R China

来源：

TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY | 2019年 / 372卷 / 02期

关键词：

Stochastic optimal control; local minimizer; necessary optimality conditions; inward pointing condition; MAXIMUM PRINCIPLE; 2ND-ORDER; EQUATIONS; 1ST;

D O I：

10.1090/tran/7669

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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 allowed to be nonconvex. A stochastic inward pointing condition is proposed to ensure the normality of the corresponding necessary conditions.

引用

页码：1289 / 1331

页数：43

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