A MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF STOCHASTIC EVOLUTION EQUATIONS

作者：Du Kai; Meng Qingxin^*

来源：SIAM Journal on Control and Optimization, 2013, 51(6): 4343-4362.

DOI：10.1137/120882433

• maximum principle
• stochastic evolution equation
• L-p estimate
• stochastic bilinear functional
• operator-valued stochastic process

A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable and linear unbounded operators act in both drift and diffusion terms, and the control set need not be convex.

• 出版日期2013