Séminaire

On Pontryagin's principle in stochastic control

Frédéric Bonnans (INRIA Saclay- Ecole Polytechnique - CMAP Palaiseau)

2 mars 2015, 15h00–16h00

Toulouse

Salle MS 001

Decision Mathematics Seminar

Résumé

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.