Stochastic maximum principle for SPDEs with delay

DOI10.1016/j.spa.2016.11.007zbMath1365.93543arXiv1603.07251OpenAlexW2962866260MaRDI QIDQ2359727

Giuseppina Guatteri, Carlo Orrieri, Federica Masiero

Publication date: 22 June 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.07251

zbMATH Keywords

stochastic maximum principlestochastic delay differential equationinfinite dimensionsanticipated backward stochastic differential equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (7)

A notion of viscosity solutions to second-order Hamilton–Jacobi–Bellman equations with delays ⋮ The stochastic linear quadratic optimal control problem on Hilbert spaces: the case of non-analytic systems ⋮ Analysis and optimal velocity control of a stochastic convective Cahn-Hilliard equation ⋮ Semilinear Kolmogorov equations on the space of continuous functions via BSDEs ⋮ Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces ⋮ Stochastic maximum principle for problems with delay with dependence on the past through general measures ⋮ Optimal control of stochastic phase-field models related to tumor growth

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal control for stochastic delay evolution equations
• The existence and uniqueness of the solution for nonlinear Kolmogorov equations
• Maximum principle for the stochastic optimal control problem with delay and application
• Delayed stochastic linear-quadratic control problem and related applications
• Nonlinear Kolmogorov equations in infinite dimensional spaces: the backward stochastic differential equations approach and applications to optimal control
• Anticipated backward stochastic differential equations
• Stochastic Maximum Principle for Optimal Control of a Class of Nonlinear SPDEs with Dissipative Drift
• Optimal control of stochastic delay equations and time-advanced backward stochastic differential equations
• Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton–Jacobi–Bellman Equations
• Maximum principle for semilinear stochastic evolution control systems
• Adapted solution of a backward semilinear stochastic evolution equation
• On the Backward Stochastic Riccati Equation in Infinite Dimensions
• A Maximum Principle for Optimal Control of Stochastic Evolution Equations
• Maximum principle for optimal control of stochastic system of functional type
• Stochastic maximum principle for optimal control of SPDEs
• Stochastic maximum principle for optimal control of SPDEs
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Stochastic maximum principle for SPDEs with delay