Second order Pontryagin's principle for stochastic control problems

Joseph Frederic Bonnans 1, 2
2 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique, Inria Saclay - Ile de France, UMA - Unité de Mathématiques Appliquées
Abstract : We discuss stochastic optimal control problems whose volatility does not depend on the control, and which have finitely many equality and inequality constraints on the expected value of functions of the final state, as well as control constraints. The main result is a proof of necessity of some second order optimality conditions involving Pontryagin multipliers.
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https://hal.inria.fr/hal-01205854
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Submitted on : Monday, September 28, 2015 - 9:23:01 AM
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Joseph Frederic Bonnans. Second order Pontryagin's principle for stochastic control problems. [Intern report] Inria Saclay Ile de France. 2015, pp.19. ⟨hal-01205854⟩

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