Peng's Maximum Principle for Stochastic Partial Differential Equations

DOI10.1137/20M1368057zbMath1478.93741arXiv2105.05194WikidataQ115246878 ScholiaQ115246878MaRDI QIDQ5157379

Lukas Wessels, Wilhelm Stannat

Publication date: 18 October 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.05194

zbMATH Keywords

stochastic optimal controlstochastic maximum principlePontryagin maximum principlenecessary conditionspike variation

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities

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