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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
UMA - Unité de Mathématiques Appliquées, Inria Saclay - Ile de France, CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
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
Contributor : J. Frederic Bonnans <>
Submitted on : Monday, September 28, 2015 - 9:23:01 AM
Last modification on : Friday, April 30, 2021 - 9:56:59 AM
Long-term archiving on: : Tuesday, December 29, 2015 - 10:18:02 AM

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  • HAL Id : hal-01205854, version 1

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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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