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Second-Order Necessary Conditions for Stochastic Optimal Control Problems

Zhang, HS; Zhang, X

Zhang, HS (reprint author), Southwest Univ, Sch Math & Stat, Chongqing 400715, Peoples R China.; Zhang, HS (reprint author), UPMC Univ Paris 06, CNRS, IMJ PRG, UMR 7586, Case 247,4 Pl Jussieu, F-75252 Paris, France.

SIAM REVIEW, 2018; 60 (1): 139

Abstract

The main purpose of this paper is to present some of our recent results about the second-order necessary conditions for stochastic optimal controls wi......

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