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MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF INFINITE DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS
Journal article   Peer reviewed

MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF INFINITE DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

DYNAMIC SYSTEMS AND APPLICATIONS, Vol.21(2-3), pp.205-217
01/06/2012

Abstract

Mathematics Mathematics, Applied Physical Sciences Science & Technology
In this paper we provide necessary and sufficient conditions for optimality of a stochastic differential equation driven by an infinite dimensional martingale, and its solution takes its values in a separable Hilbert space. By using the adjoint equation, which is a backward stochastic differential equation, we derive the maximum principle in the sense of Pontryagin for this optimal control problem.

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