arXiv:1206.3649 Abstract | arXiv Analytics

arXiv:1206.3649 [math.OC]Abstract References Reviews Resources

A Maximum Principle for Optimal Control of Stochastic Evolution Equations

Published 2012-06-16, updated 2013-12-25Version 3

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

Comments: 20 pages

Categories: math.OC

Subjects: 49K27, 93E20, 60H25

Keywords: optimal control, abstract semilinear stochastic evolution equations, general maximum principle, linear unbounded operators, diffusion terms

Related articles: Most relevant | Search more

arXiv:1107.3944 [math.OC] (Published 2011-07-20, updated 2011-11-23)

Optimal control with stochastic PDE constraints and uncertain controls

Eveline Rosseel, Garth N. Wells

arXiv:1504.02838 [math.OC] (Published 2015-04-11)

Optimal Control with Regular Objectives Using an Abstraction-Refinement Approach

Yoke Peng Leong, Pavithra Prabhakar

arXiv:2407.04201 [math.OC] (Published 2024-07-05)