Sufficient conditions for optimality for stochastic evolution equations

DOI10.1016/j.spl.2013.05.026zbMath1285.60054arXiv1202.4009OpenAlexW2047942341MaRDI QIDQ2637385

Abdulrahman Al-Hussein

Publication date: 11 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4009

zbMATH Keywords

optimal controlstochastic evolution equationsufficient conditions for optimalitybackward stochastic evolution equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Existence of optimal controls for SPDE with locally monotone coefficients ⋮ Necessary conditions for optimality for stochastic evolution equations ⋮ Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems

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