Optimal Control for Stochastic Delay Evolution Equations

Optimal Control for Stochastic Delay Evolution Equations In this paper, we investigate a class of infinite-dimensional optimal control problems, where the state equation is given by a stochastic delay evolution equation with random coefficients, and the corresponding adjoint equation is given by an anticipated backward stochastic evolution equation. We first prove the continuous dependence theorems for stochastic delay evolution equations and anticipated backward stochastic evolution equations, and show the existence and uniqueness of solutions to anticipated backward stochastic evolution equations. Then we establish necessary and sufficient conditions for optimality of the control problem in the form of Pontryagin’s maximum principles. To illustrate the theoretical results, we apply stochastic maximum principles to study two examples, an infinite-dimensional linear-quadratic control problem with delay and an optimal control of a Dirichlet problem for a stochastic partial differential equation with delay. Further applications of the two examples to a Cauchy problem for a controlled linear stochastic partial differential equation and an optimal harvesting problem are also considered. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Optimal Control for Stochastic Delay Evolution Equations

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Publisher
Springer US
Copyright
Copyright © 2015 by Springer Science+Business Media New York
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-015-9308-2
Publisher site
See Article on Publisher Site

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