Maximum principle for semilinear stochastic evolution systems

MaRDI QIDQ1192375zbMATH OpenFDO

Authors Shige Peng, Ying Hu

Publication date 27 September 1992

Published in Chinese Annals of Mathematics. Series B (Search for Journal in Brave)

zbMATH Keywords

Bensoussan's maximum principledistributed parameter systems

Mathematics Subject Classification ID

Stochastic analysis (60H99) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)

Review text

The present extends Bensoussan's maximum principle for distributed parameter systems. More precisely, it treats the case where the infinitesimal generator of the system semigroup needs not to be elliptic and overcomes the fact that Ito's formula is then no longer valid turning to a procedure based on a stochastic version of Fubini's theorem.

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(6)

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