Stochastic maximum principle for SPDEs with noise and control on the boundary

DOI10.1016/j.sysconle.2011.01.001zbMath1210.49026arXiv0807.3096OpenAlexW2963658186MaRDI QIDQ2430966

Giuseppina Guatteri

Publication date: 8 April 2011

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0807.3096

zbMATH Keywords

maximum principlestochastic controlbackward stochastic differential equationstochastic 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)

Related Items

Stochastic maximum principle for optimal control of partial differential equations driven by white noise ⋮ Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions ⋮ Stochastic maximum principle for recursive optimal control problems with varying terminal time ⋮ Temporal semi-discretizations of a backward semilinear stochastic evolution equation ⋮ Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ Properties of value function and existence of viscosity solution of HJB equation for stochastic boundary control problems ⋮ Stochastic maximum principle for optimal control of SPDEs ⋮ Optimal control of backward stochastic heat equation with Neumann boundary control and noise ⋮ Nonlinear backward stochastic evolutionary equations driven by a space-time white noise ⋮ Viscosity Solutions to HJB Equations for Boundary-Noise and Boundary-Control Problems ⋮ A variational formula for controlled backward stochastic partial differential equations and some applications

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