General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
From MaRDI portal
Publication:5414724
DOI10.1007/978-3-319-06632-5zbMath1316.49004arXiv1204.3275OpenAlexW1579866617MaRDI QIDQ5414724
Publication date: 7 May 2014
Published in: SpringerBriefs in Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.3275
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (49)
Maximum principle for discrete-time stochastic optimal control problem and stochastic game ⋮ Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation ⋮ 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 ⋮ \(L^2\) estimates and existence theorems for the \(\overline{\partial}\) operators in infinite dimensions. I ⋮ A semidiscrete Galerkin scheme for backward stochastic parabolic differential equations ⋮ Maximum principle for general partial information nonzero sum stochastic differential games and applications ⋮ A maximum principle for controlled stochastic factor model ⋮ Maximum principle for discrete-time stochastic control problem of mean-field type ⋮ A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes ⋮ Some optimal control problems of heat equations with weighted controls ⋮ 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 ⋮ Optimal bilinear control of stochastic nonlinear Schrödinger equations: mass-(sub)critical case ⋮ Control theory of stochastic distributed parameter systems: recent progress and open problems ⋮ Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions ⋮ Stochastic optimal control for backward stochastic partial differential systems ⋮ Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems ⋮ Optimal feedback controls of stochastic linear quadratic control problems in infinite dimensions with random coefficients ⋮ Optimal distributed and tangential boundary control for the unsteady stochastic Stokes equations ⋮ Operator-valued backward stochastic Lyapunov equations in infinite dimensions, and its application ⋮ Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems ⋮ Peng's Maximum Principle for Stochastic Partial Differential Equations ⋮ Stochastic maximum principle for optimal control of SPDEs ⋮ RETRACTED ARTICLE: Conditional expectations in \(L^p(\mu ;L^q(\nu ;X))\) ⋮ 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 ⋮ Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity ⋮ First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints ⋮ Characterization of optimal feedback for stochastic linear quadratic control problems ⋮ Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations ⋮ Second order necessary conditions for optimal control problems of evolution equations involving final point equality constraints ⋮ Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation ⋮ Optimal control of stochastic phase-field models related to tumor growth ⋮ Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations ⋮ A concise introduction to control theory for stochastic partial differential equations ⋮ Second Order Necessary Conditions for Optimal Control Problems of Stochastic Evolution Equations ⋮ Second-Order Necessary Conditions for Stochastic Optimal Control Problems ⋮ Stochastic maximum principle in the Pontryagin's form for wide band noise driven systems ⋮ A stochastic maximum principle with dissipativity conditions ⋮ Transposition method for backward stochastic evolution equations revisited, and its application
This page was built for publication: General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
