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

DOI10.1007/S11766-014-3156-8MaRDI QIDQ2350396zbMATH OpenOpenAlexFDO

Authors Qingxin Meng, Mao-ning Tang

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

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

Recommendations

• A variational formula for stochastic controls and some applications
• Backward stochastic Volterra integro-differential equations and applications in optimal control problems
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• On the existence of optimal controls for backward stochastic partial differential equations
• Backward stochastic differential equations coupled with value function and related optimal control problems
• scientific article; zbMATH DE number 4118295
• Backward stochastic differential equations and applications to optimal control
• Backward stochastic partial differential equations with jumps and application to optimal control of random jump fields
• scientific article; zbMATH DE number 2189780

Cites work

• scientific article; zbMATH DE number 1343080 (Why is no real title available?)
• A maximum principle for optimal control of stochastic evolution equations
• A variational formula for stochastic controls and some applications
• Adapted solution of a backward semilinear stochastic evolution equation
• BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• Backward stochastic differential equations and applications to optimal control
• Erratum. BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• Maximum principle for controlled stochastic evolution equations
• Maximum principle for semilinear stochastic evolution control systems
• On backward stochastic evolution equations in Hilbert spaces and optimal control
• On the Necessary Conditions of Optimal Controls for Stochastic Partial Differential Equations
• Optimal control of backward stochastic heat equation with Neumann boundary control and noise
• Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
• Stochastic Hamilton–Jacobi–Bellman Equations
• Stochastic controls of backward systems
• Stochastic controls with terminal contingent conditions
• Stochastic evolution equations
• Stochastic maximum principle for SPDEs with noise and control on the boundary
• Stochastic maximum principle for distributed parameter systems
• Stochastic maximum principle for optimal control of SPDEs
• Stochastic maximum principle for optimal control problem of forward and backward system
• Stochastic optimal control for backward stochastic partial differential systems
• Stochastic partial differential equations
• Sufficient conditions of optimality for backward stochastic evolution equations
• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information

Cited in

(4)

• A kind of stochastic optimization problem solved by the BSDE method
• First order BSPDEs in higher dimension for optimal control problems
• A variational formula for stochastic controls and some applications
• Stochastic optimal control for backward stochastic partial differential systems

This page was built for publication: A variational formula for controlled backward stochastic partial differential equations and some applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2350396)