Stochastic Control on Hilbert Space for Linear Evolution Equations with Random Operator-Valued Coefficients

DOI10.1137/0319023zbMath0468.49009OpenAlexW2088426015MaRDI QIDQ3921747

Nasir Uddin Ahmed

Publication date: 1981

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

Full work available at URL: https://doi.org/10.1137/0319023

zbMATH Keywords

Hilbert spacestochastic controlnecessary conditions of optimalitylinear evolution equationsoptimal feedback controlsbackward stochastic evolution equationmeasurable operator-valued random processesoptimal control of infinite dimensional stochastic systemsquadratic (random) cost functionrandom operator Riccati equation

Mathematics Subject Classification ID

Random operators and equations (aspects of stochastic analysis) (60H25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems in abstract spaces (49K27) Existence of optimal solutions to problems involving randomness (49J55)

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