Stochastic maximum principle for optimal control of SPDEs
Optimization and Control
2012-06-12 v1
Abstract
In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
Cite
@article{arxiv.1206.2119,
title = {Stochastic maximum principle for optimal control of SPDEs},
author = {Marco Fuhrman and Ying Hu and Gianmario Tessitore},
journal= {arXiv preprint arXiv:1206.2119},
year = {2012}
}