Necessary Conditions for Optimal Control of Stochastic Evolution Equations in Hilbert Spaces
Journal Article
·
· Applied Mathematics and Optimization
- Qassim University, Department of Mathematics, College of Science (Saudi Arabia)
We consider a nonlinear stochastic optimal control problem associated with a stochastic evolution equation. This equation is driven by a continuous martingale in a separable Hilbert space and an unbounded time-dependent linear operator.We derive a stochastic maximum principle for this optimal control problem. Our results are achieved by using the adjoint backward stochastic partial differential equation.
- OSTI ID:
- 22043924
- Journal Information:
- Applied Mathematics and Optimization, Vol. 63, Issue 3; Other Information: Copyright (c) 2011 Springer Science+Business Media, LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
Optimal Control for Stochastic Delay Evolution Equations
Necessary Conditions of Optimality for Some Stochastic Integrodifferential Equations of Neutral Type on Hilbert Spaces
{open_quotes}Unbounded{close_quotes} second order partial differential equations in infinite dimensional Hilbert spaces
Journal Article
·
Mon Aug 15 00:00:00 EDT 2016
· Applied Mathematics and Optimization
·
OSTI ID:22043924
Necessary Conditions of Optimality for Some Stochastic Integrodifferential Equations of Neutral Type on Hilbert Spaces
Journal Article
·
Sun Apr 15 00:00:00 EDT 2018
· Applied Mathematics and Optimization
·
OSTI ID:22043924
{open_quotes}Unbounded{close_quotes} second order partial differential equations in infinite dimensional Hilbert spaces
Journal Article
·
Sat Dec 31 00:00:00 EST 1994
· Communications in Partial Differential Equations
·
OSTI ID:22043924