Stochastic maximum principle for optimal control of partial differential equations driven by white noise

DOI10.1007/s40072-017-0108-3zbMath1406.93384arXiv1409.4746OpenAlexW2626698722MaRDI QIDQ1617259

Marco Fuhrman, Gianmario Tessitore, Ying Hu

Publication date: 7 November 2018

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.4746

zbMATH Keywords

stochastic optimal controlstochastic partial differential equationsstochastic maximum principlewhite noisebackward stochastic partial differential equations

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) White noise theory (60H40) Control/observation systems in abstract spaces (93C25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

Related Items (7)

Fully nonlocal stochastic control problems with fractional Brownian motions and Poisson jumps ⋮ The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty ⋮ Nonlinear backward stochastic evolutionary equations driven by a space-time white noise ⋮ Analysis and optimal velocity control of a stochastic convective Cahn-Hilliard equation ⋮ Deterministic control of stochastic reaction-diffusion equations ⋮ Optimal control of stochastic phase-field models related to tumor growth

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