A Maximum Principle for Optimal Control of Stochastic Evolution Equations
Optimization and Control
2012-07-03 v2
Abstract
A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.
Cite
@article{arxiv.1206.5495,
title = {A Maximum Principle for Optimal Control of Stochastic Evolution Equations},
author = {Kai Du and Qingxin Meng},
journal= {arXiv preprint arXiv:1206.5495},
year = {2012}
}
Comments
This paper has been withdrawn by the authors. This paper has been resubmitted as a revised version of arXiv:1206.3649v1