Maximum Principle for Optimal Control of Stochastic Partial Differential Equations

We consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equation driven by a continuous martingale, which takes its values in a separable Hilbert space, and a random unbounded linear operator. We derive necessary condition...

Full description

Saved in:
Bibliographic Details
Published inBulletin of the Malaysian Mathematical Sciences Society Vol. 37; no. 3
Main Author AlHussein, AbdulRahman
Format Journal Article
LanguageEnglish
Published Heidelberg Springer Nature B.V 01.01.2014
Subjects
Mathematics
Online AccessGet full text

Cover

More Information
Summary:We consider a stochastic maximum principle of optimal control for a control problem associated with a stochastic partial differential equation driven by a continuous martingale, which takes its values in a separable Hilbert space, and a random unbounded linear operator. We derive necessary conditions of optimality for this control problem without a convexity assumption on the control domain, and also when the control variable is allowed to enter in the martingale part of the equation. Linear and nonlinear equations are considered in this study. 2010 Mathematics Subject Classification: 60H15, 93E20, 35B50, 60G44
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0126-6705
2180-4206