Second order Pontriagin's principle for stochastic control problems - CANCELLED!

F. Frédéric Bonnans (INRIA Saclay, Ecole Polytechnique)
Thursday, January 29, 2015 - 5:00pm
HU Berlin, Rudower Chaussee 25, 12489 Berlin, Room 1.115

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.