Sufficient conditions for optimality for stochastic evolution equations

DOI10.1016/J.SPL.2013.05.026MaRDI QIDQ2637385zbMATH OpenOpenAlexFDO

Authors 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

backward stochastic evolution equationoptimal controlstochastic evolution equationsufficient conditions for optimality

Mathematics Subject Classification ID

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

Abstract: In this paper we derive for a controlled stochastic evolution system on a Hilbert space sufficient conditions for optimality. Our result is derived by using its so-called adjoint backward stochastic evolution equation.

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Cited in

(3)

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

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