Necessary conditions for stochastic optimal control problems in infinite dimensions

DOI10.1016/j.spa.2019.11.010zbMath1441.93337arXiv1812.10277OpenAlexW2992473178WikidataQ126636735 ScholiaQ126636735MaRDI QIDQ2182627

Hélène Frankowska, Zhang, X.

Publication date: 26 May 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.10277

zbMATH Keywords

maximum principlestochastic optimal controlvariational equationadjoint equationfirst and second order necessary optimality conditionstransposition solution

Mathematics Subject Classification ID

Set-valued and variational analysis (49J53) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (5)

First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems ⋮ Control theory of stochastic distributed parameter systems: recent progress and open problems ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions ⋮ Peng's Maximum Principle for Stochastic Partial Differential Equations ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations

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