Necessary Conditions for Optimal Control of Stochastic Evolution Equations in Hilbert Spaces
Journal Article
·
· Applied Mathematics and Optimization
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, Journal Name: Applied Mathematics and Optimization Journal Issue: 3 Vol. 63; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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