Stochastic Maximum Principle for Optimal Control of SPDEs

Stochastic Maximum Principle for Optimal Control of SPDEs We prove a version of the maximum principle, in the sense of Pontryagin, for the optimal control of a stochastic partial differential equation driven by a finite dimensional Wiener process. The equation is formulated in a semi-abstract form that allows direct applications to a large class of controlled stochastic parabolic equations. We allow for a diffusion coefficient dependent on the control parameter, and the space of control actions is general, so that in particular we need to introduce two adjoint processes. The second adjoint process takes values in a suitable space of operators on L 4 . http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Stochastic Maximum Principle for Optimal Control of SPDEs

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Publisher
Springer US
Copyright
Copyright © 2013 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/s00245-013-9203-7
Publisher site
See Article on Publisher Site

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