Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces

DOI10.1007/s00245-010-9125-6zbMath1234.93112OpenAlexW2094599055MaRDI QIDQ538476

Abdulrahman Al-Hussein

Publication date: 25 May 2011

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-010-9125-6

zbMATH Keywords

optimal controlvariational inequalitystochastic maximum principlemartingaleadjoint equationbackward stochastic partial differential equationstochastic evolution equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

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Maximum principle for optimal control of SPDEs with locally monotone coefficients ⋮ Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs ⋮ Necessary conditions for optimality for stochastic evolution equations ⋮ The solvability and optimal controls for fractional stochastic differential equations driven by Poisson jumps via resolvent operators ⋮ Optimal Controls for Stochastic Partial Differential Equations with an Application in Population Modeling ⋮ Fractional neutral stochastic differential equations with Caputo fractional derivative: Fractional Brownian motion, Poisson jumps, and optimal control

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