Necessary conditions for optimal control of stochastic evolution equations in Hilbert spaces
adjoint equationbackward stochastic partial differential equationmartingaleoptimal controlstochastic evolution equationstochastic maximum principlevariational inequality
Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic systems in control theory (general) (93E03) Optimal stochastic control (93E20)
The paper studies a system governed by a stochastic evolution equation \[ dX(t) = \big(A(t)X(t) + F(X(t),\nu(t))\big)dt + G(X(t))dM(t) \] in a Hilbert space, where \(A(t)\) is an unbounded linear operator, \(F\) and \(G\) are differentiable functions with bonded derivatives, \(M\) is a continuous martingale, and \(\nu(t)\) is a control. The main problem considered in the article is minimizing the cost functional over a set of admissible controls. This problem is approached through using the theory of backward stochastic differential equations for deriving a stochastic maximum principle for this control problem. In fact, the adjoint equation the derived in the paper turns out to be a backward stochastic partial differential equation and it can be dealt with by using previous results by the same author.
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