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

backward stochastic evolution equationspike variationstochastic evolution equationstochastic maximum principlevariational formula

Mathematics Subject Classification ID

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

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Cited in

(5)

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

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