Optimal control of stochastic differential equations with dynamical boundary conditions

DOI10.1016/j.jmaa.2008.03.013zbMath1141.60036arXiv0704.0524OpenAlexW2008518695MaRDI QIDQ929544

Fulvia Confortola, Stefano Bonaccorsi, Elisa Mastrogiacomo

Publication date: 17 June 2008

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0524

zbMATH Keywords

optimal controlstochastic differential equations in infinite dimensionsdynamical boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (7)

Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions ⋮ Infinite horizon optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ Comparison of approaches for random PDE optimization problems based on different matching functionals ⋮ A linear quadratic control problem for the stochastic heat equation driven by Q-Wiener processes ⋮ Stochastic reaction-diffusion equations on networks with dynamic time-delayed boundary conditions ⋮ Optimal control problem for stochastic evolution equations in Hilbert spaces ⋮ Large deviation principle for spatial economic growth model on networks

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