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

DOI10.1137/21m1467249zbMath1530.93545arXiv2112.03165MaRDI QIDQ6071815

Guomin Liu, Shanjian Tang

Publication date: 29 November 2023

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

Full work available at URL: https://arxiv.org/abs/2112.03165

zbMATH Keywords

maximum principlestochastic evolution equationsnonconvex control domainrecursive optimal controloperator-valued backward stochastic integral equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Control/observation systems in abstract spaces (93C25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20) Optimality conditions for problems in abstract spaces (49K27)

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