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.

引用

页码：494 / 524

页数：30

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