Optimal control of diffusion coefficients via decoupling fields

DOI10.1137/17M1152401MaRDI QIDQ4581260zbMATH OpenFDO

Authors Stefan Ankirchner, Alexander Fromm

Publication date 16 August 2018

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/17M1152401

zbMATH Keywords

decoupling fielddiffusion coefficientforward-backward stochastic differential equationoptimal stochastic control

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)

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Cites work

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Cited in

(7)

• Source intensity control in transport and diffusion problems
• Optimal position targeting via decoupling fields
• Optimal spatial field control for controlled release
• scientific article; zbMATH DE number 5117231 (Why is no real title available?)
• Optimally Coupling the Kolmogorov Diffusion, and Related Optimal Control Problems
• A transformation method to study the solvability of fully coupled FBSDEs
• High Contrasting Diffusion in Heisenberg Group: Homogenization of Optimal Control via Unfolding

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