Maximum principle for controlled stochastic evolution equations

MaRDI QIDQ3074090zbMATH OpenFDO

Authors AbdulRahman Al-Hussein

Publication date 14 February 2011

Full work available at URL http://www.m-hikari.com/ijma/ijma-2010/ijma-29-32-2010/index.html

zbMATH Keywords

backward stochastic partial differential equationsmaximum principlestochastic controlstrong orthogonality

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) Martingales with continuous parameter (60G44) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

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• Optimal control on semilinear retarded stochastic functional differential equations driven by Poisson jumps in Hilbert space
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