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arXiv:1206.2119 [math.OC]AbstractReferencesReviewsResources

Stochastic maximum principle for optimal control of SPDEs

Marco Fuhrman, Ying Hu, Gianmario Tessitore

Published 2012-06-11Version 1

In this note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).

Categories: math.OC
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