A Maximum Principle for Optimal Control of Stochastic Evolution Equations
Optimization and Control
2013-12-30 v3
Abstract
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need not be convex.
Cite
@article{arxiv.1206.3649,
title = {A Maximum Principle for Optimal Control of Stochastic Evolution Equations},
author = {Kai Du and Qingxin Meng},
journal= {arXiv preprint arXiv:1206.3649},
year = {2013}
}
Comments
20 pages