A maximum principle for optimal control of stochastic evolution equations

Authors

Kai Du, University of WollongongFollow
Qingxin Meng, Huzhou UniversityFollow

RIS ID

101365

Publication Details

Du, K. & Meng, Q. (2013). A maximum principle for optimal control of stochastic evolution equations. SIAM Journal on Control and Optimization, 51 (6), 4343-4362.

Abstract

A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable and linear unbounded operators act in both drift and diffusion terms, and the control set need not be convex. Read More: http://epubs.siam.org/doi/abs/10.1137/120882433