A maximum principle for optimal control of stochastic evolution equations

DOI10.1137/120882433MaRDI QIDQ5408795zbMATH OpenOpenAlexFDO

Authors Kai Du, Qingxin Meng

Publication date 11 April 2014

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.3649

zbMATH Keywords

\(L^{p}\) estimatemaximum principleoperator-valued stochastic processstochastic bilinear functionalstochastic evolution equation

Mathematics Subject Classification ID

Optimality conditions for problems in abstract spaces (49K27) Optimality conditions for problems involving randomness (49K45) Random operators and equations (aspects of stochastic analysis) (60H25) Optimal stochastic control (93E20)

Abstract: A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need not be convex.

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