Maximum principle for optimal control of infinite dimensional stochastic differential equations

zbMATH Open1260.60106MaRDI QIDQ4648874FDOQ4648874

Authors: AbdulRahman Al-Hussein 

Publication date: 16 November 2012

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zbMATH Keywords

maximum principlebackward stochastic differential equationoptimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Maximum principles in context of PDEs (35B50) Martingales with continuous parameter (60G44) Stochastic stability in control theory (93E15)

Cited In (14)

• Necessary stochastic maximum principle for dissipative systems on infinite time horizon
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• Maximum principle for infinite-horizon optimal control problems under weak regularity assumptions
• Stochastic maximum principle for optimal control of SPDEs
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• A mini-course on stochastic control
• BSDEs driven by infinite dimensional martingales and their applications to stochastic optimal control
• Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
• General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions
• Necessary and sufficient conditions of optimal control for infinite dimensional SDEs
• Maximum principle for optimal control of stochastic partial differential equations
• An infinite horizon stochastic maximum principle for discounted control problem with Lipschitz coefficients
• Maximum principle for controlled stochastic evolution equations
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