Peng's Maximum Principle for Stochastic Partial Differential Equations
Probability
2021-10-28 v2 Optimization and Control
Abstract
We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent diffusion coefficients to the case of general cost functionals with Nemytskii-type coefficients. Our analysis is based on a new approach to the characterization of the second order adjoint state as the solution of a function-valued backward SPDE.
Cite
@article{arxiv.2105.05194,
title = {Peng's Maximum Principle for Stochastic Partial Differential Equations},
author = {Wilhelm Stannat and Lukas Wessels},
journal= {arXiv preprint arXiv:2105.05194},
year = {2021}
}
Comments
19 pages; accepted for publication in SIAM Journal on Control and Optimization