科学研究
报告题目:

First and Second Order Necessary Optimality Conditions for Stochastic Optimal Control Problems with State Constraints

报告人:

张海森 教授(四川师范大学)

报告时间:

报告地点:

2021欧洲杯买球平台官网东北楼四楼报告厅(404)

报告摘要:

The main purpose of this talk is to introduce some new results on first and second order necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints. The control may affect both the drift and the diffusion terms of the systems and the control regions are allowed to be nonconvex. Instead of needle variation, the variational analysis approach is used to teat the nonconvexitiy of the control constraints. A stochastic inward pointing condition is proposed to ensure the normality of the corresponding necessary conditions.