Optimality Conditions in Variational Form for Non-Linear Constrained Stochastic Control Problems

Abstract: Optimality conditions in the form of a variational inequality are proved for a class of constrained optimal control problems of stochastic differential equations. The cost function and the inequality constraints are functions of the probability distribution of the state variable at the final time. The analysis uses in an essential manner a convexity property of the set of reachable probability distributions. An augmented Lagrangian method based on the obtained optimality conditions is proposed and analyzed for solving iteratively the problem. At each iteration of the method, a standard stochastic optimal control problem is solved by dynamic programming. Two academical examples are investigated.