Necessary conditions for optimality for stochastic evolution equations (Q2015568)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Necessary conditions for optimality for stochastic evolution equations |
scientific article |
Statements
Necessary conditions for optimality for stochastic evolution equations (English)
0 references
23 June 2014
0 references
Summary: This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach.
0 references
stochastic evolution equations
0 references
necessary optimality conditions
0 references
maximum principle
0 references
separable Hilbert space
0 references
0 references
0 references
