Optimal control for stochastic delay evolution equations

DOI10.1007/s00245-015-9308-2zbMath1347.49040OpenAlexW1182501289MaRDI QIDQ315766

Yang Shen, Qingxin Meng

Publication date: 23 September 2016

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-015-9308-2

zbMATH Keywords

optimal controlstochastic partial differential equationsrandom coefficientsstochastic maximum principleinfinite-dimensional systemstochastic delay evolution equationsanticipated backward stochastic evolution equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

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Optimal control problems for a neutral integro-differential system with infinite delay ⋮ Stochastic maximum principle for SPDEs with delay ⋮ Lagrange optimal controls and time optimal controls for composite fractional relaxation systems ⋮ Infinite horizon stochastic delay evolution equations in Hilbert spaces and stochastic maximum principle ⋮ Optimal feedback control results for a second-order evolution system with finite delay ⋮ Infinite horizon stochastic maximum principle for stochastic delay evolution equations in Hilbert spaces ⋮ Conjugate duality in stochastic controls with delay ⋮ Partially observed nonzero-sum differential game of BSDEs with delay and applications ⋮ Positive invertibility of matrices and exponential stability of linear stochastic systems with delay

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