Maximum principle for optimal control of stochastic partial differential equations

zbMath1306.49040arXiv1202.4006MaRDI QIDQ400794

Abdulrahman Al-Hussein

Publication date: 25 August 2014

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.4006

zbMATH Keywords

optimal controlstochastic maximum principlemartingaleadjoint equationstochastic partial differential equation

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimality conditions for problems involving randomness (49K45)

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