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Reports Year : 2015

Second order Pontryagin's principle for stochastic control problems

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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Dates and versions

hal-01205854 , version 1 (28-09-2015)

Identifiers

  • HAL Id : hal-01205854 , version 1

Cite

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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