March 2, 2015, 15:00–16:00
Toulouse
Room MS 001
Decision Mathematics Seminar
Abstract
We discuss stochastic optimal control problems whose volatility does not depend on the control, and which have finitely many equality and inequality constraints on the expected value of function of the final state, as well as control constraints. The main result is a proof of necessity of some second order optimality conditions involving Pontryagin multipliers.