Necessary First-Order and Second-Order Optimality Conditions in Discrete-Time Stochastic Systems

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dc.contributor.authorMahmudov, Nazim I.
dc.date.accessioned2026-02-06T18:34:32Z
dc.date.issued2019
dc.departmentDoğu Akdeniz Üniversitesi
dc.description.abstractIn this paper, first-order and second-order necessary conditions for optimality for discrete-time stochastic optimal control problems governed by discrete-time Ito equations are established. A new discrete-time backward stochastic equation and discrete-time backward stochastic matrix equation are introduced. Based on the discrete-time backward stochastic Ito equation, a discrete-time stochastic maximum principle for the stochastic discrete optimal control problems is obtained. Moreover, using the discrete-time backward stochastic matrix equation the second-order necessary conditions for optimality are obtained.
dc.identifier.doi10.1007/s10957-019-01478-y
dc.identifier.endpage1018
dc.identifier.issn0022-3239
dc.identifier.issn1573-2878
dc.identifier.issue3
dc.identifier.orcid0000-0003-3943-1732
dc.identifier.scopus2-s2.0-85061731599
dc.identifier.scopusqualityQ2
dc.identifier.startpage1001
dc.identifier.urihttps://doi.org/10.1007/s10957-019-01478-y
dc.identifier.urihttps://hdl.handle.net/11129/11844
dc.identifier.volume182
dc.identifier.wosWOS:000475949900008
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherSpringer/Plenum Publishers
dc.relation.ispartofJournal of Optimization Theory and Applications
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_WoS_20260204
dc.subjectDiscrete-time backward stochastic equations
dc.subjectNecessary conditions
dc.subjectDiscrete-time stochastic systems
dc.subjectStochastic linear quadratic problem
dc.titleNecessary First-Order and Second-Order Optimality Conditions in Discrete-Time Stochastic Systems
dc.typeArticle

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