Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities

DOI10.1137/21M1467249MaRDI QIDQ6071815zbMATH OpenFDO

Authors Guomin Liu, Shanjian Tang

Publication date 29 November 2023

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

Full work available at URL https://arxiv.org/abs/2112.03165

zbMATH Keywords

maximum principlestochastic evolution equationsnonconvex control domainrecursive optimal controloperator-valued backward stochastic integral equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems in abstract spaces (49K27) Optimal stochastic control (93E20) Stochastic integral equations (60H20) Control/observation systems in abstract spaces (93C25)

Abstract: We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum principle is given for the optimal control, allowing the control domain not to be convex and the generator of the BSDE to vary with the second unknown variable $z$. The associated second-order adjoint process is characterized as a unique solution of a conditionally expected operator-valued backward stochastic integral equation.

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Cited in

(5)

• Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
• Stochastic global maximum principle for optimization with recursive utilities
• Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
• A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
• Nonconvex optimal control problems for semi-linear neutral integro-differential systems with infinite delay

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