Edson Alberto Coayla-Teran
Published 2019-10-09Version 1
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this stochastic optimal control problem are obtained by using the adjoint backward stochastic partial differential equation (BSPDE).
Necessary conditions for optimality for stochastic evolution equations
Maximum principle for stochastic optimal control problem under convex expectation
A Policy Gradient Framework for Stochastic Optimal Control Problems with Global Convergence Guarantee
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