Stochastic maximum principle for distributed parameter systems
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PDEs with randomness, stochastic partial differential equations (35R60) Optimality conditions for problems involving partial differential equations (49K20) Optimality conditions for problems involving randomness (49K45) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)
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- Stochastic partial differential equations and filtering of diffusion processes
- Sur l'étude directe d'équations non linéaires intervenant en théorie du contrôle optimal
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Cited in
(76)- On a general class of stochastic partial differential equations
- Intertemporal issues associated with the control of macro-economic systems
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- Infinite horizon forward-backward stochastic differential equations
- Stochastic maximum principle for optimal control of partial differential equations driven by white noise
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- Optimal control of a class of fully coupled forward-backward stochastic partial differential equations
- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
- On backward stochastic evolution equations in Hilbert spaces and optimal control
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