27 research outputs found
Some sensitivity results in stochastic optimal control: A Lagrange multiplier point of view
In this work we provide a first order sensitivity analysis of some
parameterized stochastic optimal control problems. The parameters can be given
by random processes. The main tool is the one-to-one correspondence between the
adjoint states appearing in a weak form of the stochastic Pontryagin principle
and the Lagrange multipliers associated to the state equation