Transposition Method for Backward Stochastic Evolution Equations Revisited, and Its Application
Optimization and Control
2014-05-20 v1
Abstract
The main purpose of this paper is to improve our transposition method to solve both vector-valued and operator-valued backward stochastic evolution equations with a general filtration. As its application, we obtain a general Pontryagin-type maximum principle for optimal controls of stochastic evolution equations in infinite dimensions. In 1articular, we drop the technical assumption appeared in [Q. L\"u and X. Zhang, Springer Briefs in Mathematics,Springer, New York, 2014, Theorem 9.1].
Keywords
Cite
@article{arxiv.1405.4454,
title = {Transposition Method for Backward Stochastic Evolution Equations Revisited, and Its Application},
author = {Qi Lu and Xu Zhang},
journal= {arXiv preprint arXiv:1405.4454},
year = {2014}
}