Stochastic maximum principle for optimal control of SPDEs

DOI10.1016/J.CRMA.2012.07.009zbMATH Open1256.93117arXiv1206.2119OpenAlexW4205427778MaRDI QIDQ5891799FDOQ5891799

Marco Fuhrman, Ying Hu, Gianmario Tessitore

Publication date: 16 October 2012

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Abstract: In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).

Full work available at URL: https://arxiv.org/abs/1206.2119

zbMATH Keywords

stochastic maximum principleoptimal control of stochastic PDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (22)

• Title not available (Why is that?)
• A stochastic maximum principle with dissipativity conditions
• Optimal control of stochastic phase-field models related to tumor growth
• Stochastic maximum principle for optimal control of SPDEs
• Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift
• Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
• Necessary conditions for optimality for stochastic evolution equations
• Temporal semi-discretizations of a backward semilinear stochastic evolution equation
• A variational formula for controlled backward stochastic partial differential equations and some applications
• Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
• Analysis and optimal velocity control of a stochastic convective Cahn-Hilliard equation
• Ergodic BSDEs with Multiplicative and Degenerate Noise
• Stochastic maximum principle in the mean-field controls
• Stochastic maximum principle for SPDEs with delay
• Sufficient stochastic maximum principle for discounted control problem
• A General Stochastic Maximum Principle for Optimal Control Problems
• Ergodic control for Lévy-driven linear stochastic equations in Hilbert spaces
• Ergodic boundary and point control for linear stochastic PDEs driven by a cylindrical Lévy process
• Peng's Maximum Principle for Stochastic Partial Differential Equations
• Stochastic variational formula for fundamental solutions of parabolic PDE
• Mean-field backward stochastic evolution equations in Hilbert spaces and optimal control for BSPDEs
• The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients

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