Stochastic maximum principle for infinite dimensional control systems

Publication date 2 August 2012

Optimality conditions for problems in abstract spaces (49K27) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Abstract: The general maximum principle is proved for an infinite dimensional controlled stochastic evolution system. The control is allowed to take values in a nonconvex set and enter into both drift and diffusion terms. The operator-valued backward stochastic differential equation, which characterizes the second-order adjoint process, is understood via the concept of "generalized solution" proposed by Guatteri and Tessitore [SICON 44 (2006)].

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