Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions

DOI10.1016/j.jmaa.2018.05.016zbMath1387.93182arXiv1703.07702OpenAlexW2603360156MaRDI QIDQ1635597

Stefano Bonaccorsi, Adrian Zalinescu

Publication date: 31 May 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.07702

zbMATH Keywords

maximum principlestochastic controlbackward stochastic differential equationstochastic evolution equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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