Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise
Probability
2017-06-12 v2 Optimization and Control
Abstract
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to well-posedness of the adjoint backward stochastic differential equation and the regularity properties of its solution with values in infinite-dimensional spaces.
Cite
@article{arxiv.1409.4746,
title = {Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise},
author = {Marco Fuhrman and Ying Hu and Gianmario Tessitore},
journal= {arXiv preprint arXiv:1409.4746},
year = {2017}
}