Marco Fuhrman, Ying Hu, Gianmario Tessitore
Published 2014-09-16Version 1
We prove the maximum principle of Pontryagin's type for the optimal control of a stochastic partial differential equation driven by a white noise under the hypothesis that the control domain is convex.
Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift
Stochastic maximum principle for optimal control problem of backward systems with terminal condition in L1
On optimal control of reflected diffusions
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