Second-Order Necessary Conditions for Optimal Control with Recursive Utilities
Optimization and Control
2018-02-27 v1
Abstract
The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying such 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.
Cite
@article{arxiv.1802.09242,
title = {Second-Order Necessary Conditions for Optimal Control with Recursive Utilities},
author = {Yuchao Dong and Qingxin Meng},
journal= {arXiv preprint arXiv:1802.09242},
year = {2018}
}