Necessary Conditions for Optimal Control of SPDE with locally monotone coefficients
Optimization and Control
2019-10-11 v1
Abstract
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this stochastic optimal control problem are obtained by using the adjoint backward stochastic partial differential equation (BSPDE).
Keywords
Cite
@article{arxiv.1910.04186,
title = {Necessary Conditions for Optimal Control of SPDE with locally monotone coefficients},
author = {Edson Alberto Coayla-Teran},
journal= {arXiv preprint arXiv:1910.04186},
year = {2019}
}