Optimal control of certain hyperbolic and integral stochastic equations

DOI10.1007/BF01098499zbMath0719.49019OpenAlexW2079756337MaRDI QIDQ2640128

Leonid Shaikhet

Publication date: 1991

Published in: Journal of Soviet Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01098499

zbMATH Keywords

necessary conditionsstochastic integral equationstwo-parameter white noiseGateaux differentiationstochastic differential equations of hyperbolic type

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Fréchet and Gateaux differentiability in optimization (49J50) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)

Related Items (1)

Necessary optimality conditions for singular controls in stochastic Goursat-Darboux systems

Cites Work

• A Stochastic Maximum Principle
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