Optimal Control of Stochastic Partial Differential Equations

DOI10.1081/SAP-200044467zbMath1156.93406MaRDI QIDQ4678752

Bernt Øksendal

Publication date: 23 May 2005

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

zbMATH Keywords

optimal control; stochastic maximum principle; stochastic forward and backward partial differential equations

Mathematics Subject Classification ID

60G35: Signal detection and filtering (aspects of stochastic processes)

93E20: Optimal stochastic control

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

49K45: Optimality conditions for problems involving randomness

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Cites Work

• Two properties of stochastic KPP equations: ergodicity and pathwise property
• Convex Analysis
• Stochastic Optimal Control with Noisy Observations †
• Stochastic differential equations. An introduction with applications.
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