Necessary and sufficient conditions of optimal control for infinite dimensional SDEs
Probability
2012-03-21 v2
Abstract
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes its values in a separable Hilbert space and the control domain need not be convex. The result is obtained by using the adjoint backward stochastic differential equation.
Keywords
Cite
@article{arxiv.1202.4011,
title = {Necessary and sufficient conditions of optimal control for infinite dimensional SDEs},
author = {AbdulRahman Al-Hussein},
journal= {arXiv preprint arXiv:1202.4011},
year = {2012}
}