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Second-Order Necessary Conditions for Optimal Control with Recursive Utilities

Yuchao Dong () and Qingxin Meng ()
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Yuchao Dong: Université d’Angers
Qingxin Meng: Huzhou University

Journal of Optimization Theory and Applications, 2019, vol. 182, issue 2, No 3, 494-524

Abstract: Abstract 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.

Keywords: Recursive optimal control; Maximum principle; Variation equation; Adjoint processes; 49J53; 49K45; 60H99 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10957-019-01518-7

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