A Maximum Principle for Optimal Control of Stochastic Evolution Equations

2012/06/24 by Du, Kai, Meng, Qingxin
#FOS: Mathematics #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.1206.5495

Abstract

A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.

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