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math.OC2014★ 1 cited
Pointwise second-order necessary conditions for stochastic optimal controls, Part I: The case of convex control constraint
Haisen Zhang, Xu Zhang
This paper is the first part of our series work to establish pointwise second-order necessary conditions for stochastic optimal controls. In this part, both drift and diffusion ter…
math.OC2014
Some results on pointwise second-order necessary conditions for stochastic optimal controls
Haisen Zhang, Xu Zhang
The purpose of this paper is to derive some pointwise second-order necessary conditions for stochastic optimal controls in the general case that the control variable enters into bo…