Second-Order Necessary Conditions for Optimal Control with Recursive Utilities

被引：0
|
作者：
Yuchao Dong
Qingxin Meng
机构：
[1] Université d’Angers,LAREMA, Départment de Mathématiques
[2] Huzhou University,Department of Mathematical Sciences
来源：
Journal of Optimization Theory and Applications | 2019年 / 182卷
关键词：
Recursive optimal control; Maximum principle; Variation equation; Adjoint processes; 49J53; 49K45; 60H99;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities are investigated. The first-order condition is the well-known Pontryagin-type maximum principle. When such a first-order necessary condition is singular in some sense, certain type of the second-order necessary condition will come in naturally. The aim of this paper is to explore such kind of conditions for our optimal control problem.
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页码：494 / 524
页数：30
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