Stochastic Maximum Principle for a PDEs with noise and control on the boundary
Probability
2016-12-05 v3 Systems and Control
Optimization and Control
Abstract
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problems can be interpreted as a stochastic control problem for an evolution system in an Hilbert space. The regularity of the solution of the adjoint equation, that is a backward stochastic equation in infinite dimension, plays a crucial role in the formulation of the maximum principle.
Cite
@article{arxiv.0807.3096,
title = {Stochastic Maximum Principle for a PDEs with noise and control on the boundary},
author = {Giuseppina Guatteri},
journal= {arXiv preprint arXiv:0807.3096},
year = {2016}
}
Comments
15pgs