Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces (Q538476)
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English | Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces |
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Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces (English)
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25 May 2011
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The paper studies a system governed by a stochastic evolution equation \[ dX(t) = \big(A(t)X(t) + F(X(t),\nu(t))\big)dt + G(X(t))dM(t) \] in a Hilbert space, where \(A(t)\) is an unbounded linear operator, \(F\) and \(G\) are differentiable functions with bonded derivatives, \(M\) is a continuous martingale, and \(\nu(t)\) is a control. The main problem considered in the article is minimizing the cost functional over a set of admissible controls. This problem is approached through using the theory of backward stochastic differential equations for deriving a stochastic maximum principle for this control problem. In fact, the adjoint equation the derived in the paper turns out to be a backward stochastic partial differential equation and it can be dealt with by using previous results by the same author.
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martingale
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stochastic evolution equation
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stochastic maximum principle
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optimal control
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variational inequality
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adjoint equation
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backward stochastic partial differential equation
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