A MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF STOCHASTIC EVOLUTION EQUATIONS

被引：46

作者：

Du, Kai ^{[1
]}

Meng, Qingxin ^{[2
]}

机构：

[1] ETH, Dept Math, CH-8092 Zurich, Switzerland

[2] Huzhou Univ, Dept Math Sci, Huzhou 31300, Zhejiang, Peoples R China

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2013年 / 51卷 / 06期

基金：

中国国家自然科学基金; 中国博士后科学基金;

关键词：

maximum principle; stochastic evolution equation; L-p estimate; stochastic bilinear functional; operator-valued stochastic process; SYSTEMS;

D O I：

10.1137/120882433

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable and linear unbounded operators act in both drift and diffusion terms, and the control set need not be convex.

引用

页码：4343 / 4362

页数：20

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