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First and Second Order Necessary Conditions for Stochastic Optimal Controls
澳门新葡8455最新网站:2018年07月25日 13:55 点击数:

报告人:张旭

报告地点:综合教学楼104室

报告澳门新葡8455最新网站:2018年07月27日星期五10:00-11:00

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报告摘要:

The main purpose of this work is to establish the first and second order necessary optimality conditions for stochastic optimal controls using the classical variational analysis approach. The control system is governed by a stochastic differential equation, in which both drift and diffusion terms may contain the control variable and the set of controls is allowed to be nonconvex. Only one adjoint equation is introduced to derive the first order necessary condition; while only two adjoint equations are needed to state the second order necessary conditions for stochastic optimal controls. (Jointly with Hélène Frankowska and Haisen Zhang.

主讲人概况:

四川大学数学新葡京最新官网教授。

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