Sufficient conditions for optimality for stochastic evolution equations
Probability
2013-08-28 v3 Optimization and Control
Abstract
In this paper we derive for a controlled stochastic evolution system on a Hilbert space sufficient conditions for optimality. Our result is derived by using its so-called adjoint backward stochastic evolution equation.
Keywords
Cite
@article{arxiv.1202.4009,
title = {Sufficient conditions for optimality for stochastic evolution equations},
author = {AbdulRahman Al-Hussein},
journal= {arXiv preprint arXiv:1202.4009},
year = {2013}
}