Stochastic maximum principle for infinite dimensional control systems
Optimization and Control
2012-08-07 v2 Probability
Abstract
The general maximum principle is proved for an infinite dimensional controlled stochastic evolution system. The control is allowed to take values in a nonconvex set and enter into both drift and diffusion terms. The operator-valued backward stochastic differential equation, which characterizes the second-order adjoint process, is understood via the concept of "generalized solution" proposed by Guatteri and Tessitore [SICON 44 (2006)].
Cite
@article{arxiv.1208.0529,
title = {Stochastic maximum principle for infinite dimensional control systems},
author = {Kai Du and Qingxin Meng},
journal= {arXiv preprint arXiv:1208.0529},
year = {2012}
}