Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift

DOI10.1137/15M1012888zbMATH Open1345.49036arXiv1503.04989MaRDI QIDQ2796008FDOQ2796008

Marco Fuhrman, Carlo Orrieri

Publication date: 23 March 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by an infinite dimensional additive noise. In particular we treat the case in which the non-linear term is of Nemytskii type, dissipative and with polynomial growth. The performance functional to be optimized is fairly general and may depend on point evaluation of the controlled equation. The results can be applied to a large class of non-linear parabolic equations such as reaction-diffusion equations.

Full work available at URL: https://arxiv.org/abs/1503.04989

zbMATH Keywords

stochastic partial differential equationsbackward stochastic partial differential equationsstochastic maximum principlestochastic optimal control

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (21)

• Deterministic control of stochastic reaction-diffusion equations
• Optimal control of stochastic phase-field models related to tumor growth
• On stochastic optimal control in ferromagnetism
• Stochastic maximum principle for optimal control of SPDEs
• Schauder estimates for stationary and evolution equations associated to stochastic reaction-diffusion equations driven by colored noise
• Optimal control for the stochastic Fitzhugh-Nagumo model with recovery variable
• A stochastic maximum principle for control problems constrained by the stochastic Navier-Stokes equations
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
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• Optimal control of the FitzHugh-Nagumo stochastic model with nonlinear diffusion
• Approximation of optimal feedback controls for stochastic reaction-diffusion equations
• Stochastic variational formula for fundamental solutions of parabolic PDE
• Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach
• Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations
• Optimal Distributed Control of a Stochastic Cahn--Hilliard Equation
• Maximum principle for optimal control of SPDEs with locally monotone coefficients

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