Necessary conditions for optimality for stochastic evolution equations

DOI10.1155/2013/469390MaRDI QIDQ2015568zbMATHOpenAlexWikidataFDO

Authors AbdulRahman Al-Hussein

Publication date 23 June 2014

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

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

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)

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.

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Cited in

(11)

• 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
• Necessary conditions of optimality for a class of stochastic differential equations on UMD Banach spaces
• Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• Optimal control of general McKean-Vlasov stochastic evoulution equations on Hilbert spaces and necessary conditions of optimality
• Maximum principle for optimal control of SPDEs with locally monotone coefficients
• Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
• Pontryagin-type stochastic maximum principle of stochastic evolution equation with a random generator
• First order necessary condition for stochastic evolution control systems with random generators

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