Optimal Control of Stochastic Partial Differential Equations

DOI10.1081/SAP-200044467zbMATH Open1156.93406MaRDI QIDQ4678752FDOQ4678752

Authors: B. Øksendal 

Publication date: 23 May 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

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zbMATH Keywords

optimal controlstochastic maximum principlestochastic forward and backward partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

Cites Work

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• Two properties of stochastic KPP equations: Ergodicity and pathwise property
• Stochastic Optimal Control with Noisy Observations †

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• Optimal control of forward-backward stochastic Volterra equations
• BSDEs driven by time-changed Lévy noises and optimal control
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