Second‐order necessary optimality conditions for discrete‐time stochastic systems
Teng Song,
Yong Yao
Abstract:SummaryThis paper deals with the second‐order necessary optimality conditions for discrete‐time stochastic optimal control problems under weakened convexity assumptions. Using a special variation of the control, and by virtue of a new discrete‐time backward stochastic equation, we establish a more general and constructive first‐order necessary optimality condition in the form of a global stochastic maximum principle. Moreover, by introducing a new discrete‐time backward stochastic matrix equation, the second‐o… Show more
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