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Second-Order Necessary Conditions for Optimal Control with Recursive Utilities

Author

Listed:
  • Yuchao Dong

    (Université d’Angers)

  • Qingxin Meng

    (Huzhou University)

Abstract

The necessary conditions for an optimal control of a stochastic control problem with recursive utilities are investigated. The first-order condition is the well-known Pontryagin-type maximum principle. When such a 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.

Suggested Citation

  • Yuchao Dong & Qingxin Meng, 2019. "Second-Order Necessary Conditions for Optimal Control with Recursive Utilities," Journal of Optimization Theory and Applications, Springer, vol. 182(2), pages 494-524, August.
    • Handle: RePEc:spr:joptap:v:182:y:2019:i:2:d:10.1007_s10957-019-01518-7
    DOI: 10.1007/s10957-019-01518-7
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    References listed on IDEAS

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    1. N. C. Framstad & B. Øksendal & A. Sulem, 2004. "Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance," Journal of Optimization Theory and Applications, Springer, vol. 121(1), pages 77-98, April.
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