Stochastic maximum principle for optimal control of SPDEs

DOI10.1007/s00245-013-9203-7zbMath1282.93274arXiv1302.0286OpenAlexW2081720351MaRDI QIDQ5920294

Ying Hu, Marco Fuhrman, Gianmario Tessitore

Publication date: 24 March 2014

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0286

zbMATH Keywords

optimal controlstochastic maximum principlestochastic partial differential equationadjoint process

Mathematics Subject Classification ID

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

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