Stochastic maximum principle for optimal control of partial differential equations driven by white noise
Articolo
Data di Pubblicazione:
2018
Citazione:
Stochastic maximum principle for optimal control of partial differential equations driven by white noise / M. Fuhrman, H. Ying, T. Gianmario. - In: STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS: ANALYSIS AND COMPUTATIONS. - ISSN 2194-0401. - 6:2(2018 Jun), pp. 255-285. [10.1007/s40072-017-0108-3]
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.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Stochastic maximum principle; Stochastic partial differential equations; Backward stochastic partial differential equations; Stochastic optimal control; White noise
Elenco autori:
M. Fuhrman, H. Ying, T. Gianmario
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