Stochastic maximum principle for distributed parameter systems

DOI10.1016/0016-0032(83)90059-5zbMath0519.93042OpenAlexW2005864397MaRDI QIDQ1055382

Alain Bensoussan

Publication date: 1983

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0016-0032(83)90059-5

zbMATH Keywords

stochastic maximum principleabstract linear distributed parameter systems

Mathematics Subject Classification ID

Optimality conditions for problems involving partial differential equations (49K20) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Optimality conditions for problems involving randomness (49K45)

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• Stochastic partial differential equations and filtering of diffusion processes
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• On the Separation Theorem of Stochastic Control
• On Square Integrable Martingales
• On the Optimal Control of a System Governed by a Linear Parabolic Equation with White Noise Inputs
• Necessary Conditions for Continuous Parameter Stochastic Optimization Problems

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