Necessary conditions for optimality for stochastic evolution equations

DOI10.1155/2013/469390zbMATH Open1292.49026arXiv1210.6523OpenAlexW2130363134WikidataQ58916349 ScholiaQ58916349MaRDI QIDQ2015568FDOQ2015568

Authors: AbdulRahman Al-Hussein 

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Abstract: This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach.

Full work available at URL: https://arxiv.org/abs/1210.6523

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zbMATH Keywords

maximum principlenecessary optimality conditionsseparable Hilbert spacestochastic evolution equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (6)

• Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
• First order necessary condition for stochastic evolution control systems with random generators
• A maximum principle for optimal control of stochastic evolution equations
• Necessary and sufficient conditions of optimal control for infinite dimensional SDEs
• Maximum principle for controlled stochastic evolution equations
• Maximum principle for optimal control of SPDEs with locally monotone coefficients

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