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 spaces
Articolo in rivista - Articolo scientifico
Stochastic maximum principle, Stochastic partial differential equations, Backward stochastic partial differential equations, Stochastic optimal control, White noise
English
dic-2017
2018
6
2
255
285
reserved
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].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/189868
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