We prove a stochastic maximum principle of Pontryagin’s type for the optimal control of a stochastic partial differential equation driven by white noise in the case when the set of control actions is convex. Particular attention is paid to well-posedness of the adjoint backward stochastic differential equation and the regularity properties of its solution with values in infinite-dimensional spaces
Fuhrman, M., Hu, Y., Tessitore, G. (2018). Stochastic maximum principle for optimal control of partial differential equations driven by white noise. STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS: ANALYSIS AND COMPUTATIONS, 6(2), 255-285 [10.1007/s40072-017-0108-3].
Stochastic maximum principle for optimal control of partial differential equations driven by white noise
Tessitore, G
2018
Abstract
We prove a stochastic maximum principle of Pontryagin’s type for the optimal control of a stochastic partial differential equation driven by white noise in the case when the set of control actions is convex. Particular attention is paid to well-posedness of the adjoint backward stochastic differential equation and the regularity properties of its solution with values in infinite-dimensional spacesFile | Dimensione | Formato | |
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