A Maximum Principle for Optimal Control of Stochastic Evolution Equations

DOI10.1137/120882433zbMath1285.49018arXiv1206.3649OpenAlexW2113491602MaRDI QIDQ5408795

Qingxin Meng, Kai Du

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

maximum principle\(L^{p}\) estimatestochastic evolution equationoperator-valued stochastic processstochastic bilinear functional

Mathematics Subject Classification ID

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

Related Items (31)

Maximum principle for discrete-time stochastic optimal control problem and stochastic game ⋮ Stochastic maximum principle for SPDEs with delay ⋮ Stochastic maximum principle for optimal control of partial differential equations driven by white noise ⋮ Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise ⋮ Necessary conditions for stochastic optimal control problems in infinite dimensions ⋮ Stochastic maximum principle for systems driven by local martingales with spatial parameters ⋮ First order necessary condition for stochastic evolution control systems with random generators ⋮ Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities ⋮ Necessary conditions of Pontraygin’s type for general controlled stochastic Volterra integral equations ⋮ Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty ⋮ Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation ⋮ Necessary stochastic maximum principle for dissipative systems on infinite time horizon ⋮ Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems ⋮ Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application ⋮ Peng's Maximum Principle for Stochastic Partial Differential Equations ⋮ A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator ⋮ Stochastic maximum principle for optimal control of SPDEs ⋮ Nonlinear backward stochastic evolutionary equations driven by a space-time white noise ⋮ Analysis and optimal velocity control of a stochastic convective Cahn-Hilliard equation ⋮ Stochastic Maximum Principle for Optimal Control of a Class of Nonlinear SPDEs with Dissipative Drift ⋮ Optimal Controls for Stochastic Partial Differential Equations with an Application in Population Modeling ⋮ First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints ⋮ Optimal Distributed Control of a Stochastic Cahn--Hilliard Equation ⋮ Controlled singular evolution equations and Pontryagin type maximum principle with applications ⋮ Optimal control of stochastic phase-field models related to tumor growth ⋮ A concise introduction to control theory for stochastic partial differential equations ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems ⋮ A variational formula for controlled backward stochastic partial differential equations and some applications ⋮ A stochastic maximum principle with dissipativity conditions ⋮ Transposition method for backward stochastic evolution equations revisited, and its application

This page was built for publication: A Maximum Principle for Optimal Control of Stochastic Evolution Equations