Stochastic maximum principle for optimal control of partial differential equations driven by white noise

DOI10.1007/S40072-017-0108-3zbMath1406.93384arXiv1409.4746OpenAlexW2626698722MaRDI QIDQ1617259

Marco Fuhrman, Gianmario Tessitore, Ying Hu

Publication date: 7 November 2018

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.4746

zbMATH Keywords

stochastic optimal controlstochastic partial differential equationsstochastic maximum principlewhite noisebackward stochastic partial differential equations

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) White noise theory (60H40) Control/observation systems in abstract spaces (93C25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

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Fully nonlocal stochastic control problems with fractional Brownian motions and Poisson jumps ⋮ The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty ⋮ Nonlinear backward stochastic evolutionary equations driven by a space-time white noise ⋮ Analysis and optimal velocity control of a stochastic convective Cahn-Hilliard equation ⋮ Optimality conditions for parabolic stochastic optimal control problems with boundary controls ⋮ Approximation of optimal feedback controls for stochastic reaction-diffusion equations ⋮ Deterministic control of stochastic reaction-diffusion equations ⋮ Optimal control of stochastic phase-field models related to tumor growth

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