A variational formula for controlled backward stochastic partial differential equations and some applications

DOI10.1007/s11766-014-3156-8zbMath1324.93141OpenAlexW1993350712MaRDI QIDQ2350396

Mao-ning Tang, Qingxin Meng

Publication date: 29 June 2015

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-014-3156-8

zbMATH Keywords

stochastic maximum principlestochastic evolution equationvariational formulaspike variationbackward stochastic 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)

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