On the existence of stochastic optimal control of distributed state system (Q1863494)
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scientific article; zbMATH DE number 1880002
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the existence of stochastic optimal control of distributed state system |
scientific article; zbMATH DE number 1880002 |
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On the existence of stochastic optimal control of distributed state system (English)
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11 March 2003
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This paper deals with an optimal control problem governed by a semilinear parabolic stochastic differential equation with a nonlinear diffusion coefficient. The driving Wiener process is a Hilbert space valued cylindrical one. The control space is not compact and is of infinite dimension. The authors prove the existence of a quasi-optimal (nonrelaxed) control, without assuming convexity of coefficients, choosing approximate optimal controls by Ekeland's principle and recalling tightness criteria.
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cylindrical Wiener process
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Skorokhod theorem
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quasi-optimal control
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optimal control
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semilinear parabolic stochastic differential
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nonlinear diffusion coefficient
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approximate optimal
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Ekeland's principle
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tightness
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0.91062707
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