Stochastic maximum principle for optimal control of SPDEs

被引：20
|
作者：
Fuhrman, Marco [1 ]
Hu, Ying [2 ]
Tessitore, Gianmario [3 ]
机构：
[1] Politecn Milan, Dipartimento Matemat, I-20133 Milan, Italy
[2] Univ Rennes 1, IRMAR, F-35042 Rennes, France
[3] Univ Milano Bicocca, Dipartimento Matemat, I-20125 Milan, Italy
来源：
COMPTES RENDUS MATHEMATIQUE | 2012年 / 350卷 / 13-14期
关键词：
SYSTEMS;
D O I：
10.1016/j.crma.2012.07.009
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this Note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable). (C) 2012 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved.
引用
收藏
页码：683 / 688
页数：6
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