Stochastic maximum principle for distributed parameter systems
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Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Optimality conditions for problems involving partial differential equations (49K20) Optimality conditions for problems involving randomness (49K45) Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20)
Cites work
- scientific article; zbMATH DE number 3873824 (Why is no real title available?)
- scientific article; zbMATH DE number 3395746 (Why is no real title available?)
- An Introductory Approach to Duality in Optimal Stochastic Control
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- On Square Integrable Martingales
- On the Optimal Control of a System Governed by a Linear Parabolic Equation with White Noise Inputs
- On the Separation Theorem of Stochastic Control
- Optimal Control of Stochastic Linear Distributed Parameter Systems
- Stochastic partial differential equations and filtering of diffusion processes
- Sur l'étude directe d'équations non linéaires intervenant en théorie du contrôle optimal
- Sur le contrôle optimal de systèmes distribués
Cited in
(69)- A stochastic maximum principle with dissipativity conditions
- Deterministic control of stochastic reaction-diffusion equations
- On the existence of optimal controls for backward stochastic partial differential equations
- Necessary conditions for stochastic optimal control problems in infinite dimensions
- Second-order Taylor expansion for backward doubly stochastic control system
- Discretization of a distributed optimal control problem with a stochastic parabolic equation driven by multiplicative noise
- Transposition method for backward stochastic evolution equations revisited, and its application
- On the existence of stochastic optimal control of distributed state system
- Solving stochastic optimal control problem via stochastic maximum principle with deep learning method
- Existence of optimal and -optimal controls for the stochastic Navier-Stokes equation
- Canonical equations for boundary feedback control of stochastic distributed parameter systems
- Second-order Taylor expansion for backward doubly stochastic control system
- Reflected backward stochastic partial differential equations with jumps in a convex domain
- Stochastic maximum principle for optimal control of SPDEs
- Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
- Stochastic maximum principle for optimal control of SPDEs
- Nonlinear backward stochastic evolutionary equations driven by a space-time white noise
- Second order necessary conditions for optimal control problems of stochastic evolution equations
- Stochastic maximum principle for optimal control of partial differential equations driven by white noise
- Maximum principle for forward-backward doubly stochastic control systems and applications
- On a general class of stochastic partial differential equations
- First and second order necessary conditions for stochastic optimal control problems
- Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift
- Strong rates of convergence for a space-time discretization of the backward stochastic heat equation, and of a linear-quadratic control problem for the stochastic heat equation
- Backward stochastic Schrödinger and infinite-dimensional Hamiltonian equations
- A risk-sensitive maximum principle
- Stochastic maximum principle for SPDEs with noise and control on the boundary
- Necessary and sufficient conditions for optimal control of semilinear stochastic partial differential equations
- Numerical analysis of a Neumann boundary control problem with a stochastic parabolic equation
- A variational formula for controlled backward stochastic partial differential equations and some applications
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
- Temporal semi-discretizations of a backward semilinear stochastic evolution equation
- Optimal control for one-phase Stefan problem with random emission
- Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
- Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone
- The link between stochastic differential equations with non-Markovian coefficients and backward stochastic partial differential equations
- First order necessary condition for stochastic evolution control systems with random generators
- Convergence of a Spatial Semidiscretization for a Backward Semilinear Stochastic Parabolic Equation
- First and second order necessary optimality conditions for controlled stochastic evolution equations with control and state constraints
- Optimality conditions for stochastic boundary control problems governed by semilinear parabolic equations
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- Optimal controls for stochastic partial differential equations with an application in population modeling
- ε-optimal control of random parabolic differential equations by an elliptic approximation
- Forward-backward stochastic differential equations generated by Bernstein diffusions
- On the convergence of the Sakawa-Shindo algorithm in stochastic control
- Infinite horizon forward-backward stochastic differential equations
- The maximum principle for the nonlinear stochastic optimal control problem of switching systems
- On backward stochastic evolution equations in Hilbert spaces and optimal control
- Control theory of stochastic distributed parameter systems: recent progress and open problems
- SPDEs with space interactions and application to population modelling
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Stochastic optimal control for backward stochastic partial differential systems
- First-order and second-order necessary optimality conditions concerning components for discrete-time stochastic systems
- Spatial convergence for semi-linear backward stochastic differential equations in Hilbert space: a mild approach
- Incomplete information mean-field games and related Riccati equations
- Optimality conditions for parabolic stochastic optimal control problems with boundary controls
- Intertemporal issues associated with the control of macro-economic systems
- Adapted solution of a backward semilinear stochastic evolution equation
- The forward-backward stochastic heat equation: numerical analysis and simulation
- A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
- A direct method for optimization of stochastic distributed systems
- Maximum principle for forward-backward control system driven by Itô-Lévy processes under initial-terminal constraints
- Sensitivity results in stochastic optimal control: a Lagrangian perspective
- Existence of the optimal control for stochastic boundary control problems governed by semilinear parabolic equations
- Peng's Maximum Principle for Stochastic Partial Differential Equations
- Reflected backward stochastic partial differential equations in a convex domain
- Forward-backward stochastic evolution equations in infinite dimensions and application to LQ optimal control problems
- A non-Markovian liquidation problem and backward SPDEs with singular terminal conditions
- Finite element methods for nonlinear backward stochastic partial differential equations and their error estimates
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