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arXiv · 1409.4746

Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise

Marco Fuhrman·Ying Hu·Gianmario Tessitore
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Abstract

We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of control actions is convex. Particular attention is paid to well-posedness of the adjoint backward stochastic differential equation and the regularity properties of its solution with values in infinite-dimensional spaces.

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Marco Fuhrman, Ying Hu, Gianmario Tessitore. 2014-09-16. Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise. https://arxiv.org/abs/1409.4746

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