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). (C) 2012 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved
Fuhrman, M., Hu, Y., Tessitore, G. (2012). Stochastic maximum principle for optimal control of SPDEs. COMPTES RENDUS MATHÉMATIQUE, 350(13-14), 683-688 [10.1016/j.crma.2012.07.009].
Stochastic maximum principle for optimal control of SPDEs
TESSITORE, GIANMARIO
2012
Abstract
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). (C) 2012 Academie des sciences. Published by Elsevier Masson SAS. All rights reserved
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