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Necessary Conditions for Optimality for Stochastic Evolution Equations
Journal article   Open access  Peer reviewed

Necessary Conditions for Optimality for Stochastic Evolution Equations

AbdulRahman Al-Hussein
Abstract and applied analysis, Vol.2013, pp.1-9
01/01/2013

Abstract

This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach.
url
https://doi.org/10.1155/2013/469390View
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