Necessary and sufficient conditions of optimal control for infinite dimensional SDEs

DOI10.1007/978-3-319-30417-5_6MaRDI QIDQ4558893zbMATH OpenOpenAlexFDO

Authors AbdulRahman Al-Hussein

Publication date 30 November 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.4011

zbMATH Keywords

martingalemaximum principlebackward stochastic differential equationoptimal controlconditions of optimality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25)

Abstract: A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes its values in a separable Hilbert space and the control domain need not be convex. The result is obtained by using the adjoint backward stochastic differential equation.

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Cited in

(11)

• Necessary stochastic maximum principle for dissipative systems on infinite time horizon
• Necessary conditions for stochastic optimal control problems in infinite dimensions
• Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
• Necessary conditions for optimality for stochastic evolution equations
• Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
• Maximum principle for optimal control of infinite dimensional stochastic differential equations
• Pontryagin's maximum principle for optimal control of stochastic SEIR models
• Conditional essential suprema with applications
• Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
• The necessary conditions for optimal control in Hilbert spaces
• Necessary and sufficient conditions in optimal control of mean-field stochastic differential equations with infinite horizon

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