On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
From MaRDI portal
Publication:4277523
DOI10.1137/0331068zbMath0795.93104MaRDI QIDQ4277523
No author found.
Publication date: 8 September 1994
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0331068
93E20: Optimal stochastic control
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
Related Items
A maximum principle for controlled stochastic factor model, Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs, Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations, Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations, Finite Element Methods for Nonlinear Backward Stochastic Partial Differential Equations and Their Error Estimates, Malliavin calculus applied to optimal control of stochastic partial differential equations with jumps, DISSIPATIVE BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS IN INFINITE DIMENSIONS, Stochastic maximum principle for optimal control of SPDEs, On the Cauchy-Dirichlet problem in a half space for backward SPDEs in weighted Hölder spaces, Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations, On the Cauchy problem for backward stochastic partial differential equations in Hölder spaces, Stochastic initial boundary value problems subject to distributed and boundary noise and their optimal control, \(L ^{p }\) theory for super-parabolic backward stochastic partial differential equations in the whole space, Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations, Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces, A maximum principle for partially observed optimal control of forward-backward stochastic control systems, Maximum principle for quasi-linear backward stochastic partial differential equations, A stochastic maximum principle for partially observed stochastic control systems with delay, Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise, General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance, Adapted solution of a degenerate backward SPDE, with applications, On the application of minimum principle for solving partially observable risk-sensitive control problems, Hamilton-Jacobi-Bellman equations for the optimal control of the Duncan-Mortensen-Zakai equation, Stochastic maximum principle for optimal control of partial differential equations driven by white noise, Robust \(H_{\infty}\) control for linear stochastic partial differential systems with time delay, Existence of the optimal control for stochastic boundary control problems governed by semilinear parabolic equations, Strong solution of backward stochastic partial differential equations in \(C ^{2}\) domains, Stochastic optimal control for backward stochastic partial differential systems, Nonlinear backward stochastic evolutionary equations driven by a space-time white noise, Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations, A linear-quadratic optimal control problem of stochastic differential equations with delay and partial information, Well-posedness of backward stochastic partial differential equations with Lyapunov condition, Necessary conditions for stochastic optimal control problems in infinite dimensions, A necessary condition for optimal control of~initial coupled forward-backward stochastic differential equations with~partial information, Backward stochastic partial differential equations with quadratic growth, Controlled reflected SDEs and Neumann problem for backward SPDEs, First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints, A variational formula for controlled backward stochastic partial differential equations and some applications, Semi-linear backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process, Transposition method for backward stochastic evolution equations revisited, and its application, Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations, A revisit to \(W^n_2\)-theory of super-parabolic backward stochastic partial differential equations in \(\mathbb R^d\), Optimal Controls for Stochastic Partial Differential Equations with an Application in Population Modeling, Risk-Sensitive Mean-Field Type Control Under Partial Observation, A SPDE maximum principle for stochastic differential games under partial information with application to optimal portfolios on fixed income markets
