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Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs
Conference proceeding

Necessary and Sufficient Conditions of Optimalcontrol for Infinite Dimensional SDEs

Abdulrahman Al-Hussein
STATISTICAL METHODS AND APPLICATIONS IN INSURANCE AND FINANCE, Vol.158, pp.149-171
Springer Proceedings in Mathematics & Statistics
01/01/2016

Abstract

Mathematics Mathematics, Applied Physical Sciences Science & Technology Statistics & Probability
A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes its values in a separable Hilbert space and the control domain need not be convex when studying optimality necessary conditions. The result is obtained by using the adjoint backward stochastic differential equation.

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