Stochastic Verification Theorem for Infinite Dimensional Stochastic Control Systems

2022/09/20 by Chen, Liangying, Lü, Qi
#93E20 #FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2209.09576

Abstract

The verification theorem serving as an optimality condition for the optimal control problem, has been expected and studied for a long time. The purpose of this paper is to establish this theorem for control systems governed by stochastic evolution equations in infinite dimensions, in which both the drift and the diffusion terms depend on the controls.

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