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arXiv · 1202.4011

Necessary and sufficient conditions of optimal control for infinite dimensional SDEs

AbdulRahman Al-Hussein
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Abstract

A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes its values in a separable Hilbert space and the control domain need not be convex. The result is obtained by using the adjoint backward stochastic differential equation.

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AbdulRahman Al-Hussein. 2012-02-17. Necessary and sufficient conditions of optimal control for infinite dimensional SDEs. https://arxiv.org/abs/1202.4011

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