Stochastic maximum principle for optimal control of SPDEs

被引：21

作者：

Fuhrman, Marco ^{[1
]}

Hu, Ying ^{[2
]}

Tessitore, Gianmario ^{[3
]}

机构：

[1] Politecn Milan, Dipartimento Matemat, I-20133 Milan, Italy

[2] Univ Rennes 1, IRMAR, F-35042 Rennes, France

[3] Univ Milano Bicocca, Dipartimento Matemat, I-20125 Milan, Italy

来源：

COMPTES RENDUS MATHEMATIQUE | 2012年 / 350卷 / 13-14期

关键词：

SYSTEMS;

D O I：

10.1016/j.crma.2012.07.009

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this Note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable). (C) 2012 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.

引用

页码：683 / 688

页数：6

共 6 条

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[Anonymous], 1995, Analytic semigroups and optimal regularity in parabolic problems

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[4]

HU Y, 1991, STOCH ANAL APPL, V9, P445, DOI DOI 10.1080/07362999108809250

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PENG, SG .

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[6]

Tang S. J., 1994, Differential Equations, Dynamical Systems, and Control Science, Lecture Notes in Pure and Applied Mathematics, V152, P867

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