A stochastic maximum principle with dissipativity conditions

DOI10.3934/dcds.2015.35.5499zbMath1332.93381arXiv1309.7757OpenAlexW2963224929MaRDI QIDQ255511

Carlo Orrieri

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7757

zbMATH Keywords

stochastic optimal controlstochastic maximum principledissipative systemsbackward stochastic differential equationnecessary conditions for optimality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items

The maximum principle for optimal control of BSDEs with locally Lipschitz coefficients ⋮ Necessary stochastic maximum principle for dissipative systems on infinite time horizon ⋮ Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach ⋮ Stochastic Maximum Principle for Optimal Control of a Class of Nonlinear SPDEs with Dissipative Drift ⋮ Optimal Distributed Control of a Stochastic Cahn--Hilliard Equation

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