Stochastic maximum principle for optimal control of SPDEs

Marco Fuhrman (1) , Ying Hu (2) , Gianmario Tessitore (3)

1 DIPARTIMENTO DI MATEMATICA - Dipartimento di Matematica
2 IRMAR - Institut de Recherche Mathématique de Rennes
3 Dipartimento di Matematica e Applicazioni [Milano]

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).

Domaines: Optimisation et contrôle [math.OC]

Marco Fuhrman, Ying Hu, Gianmario Tessitore. Stochastic maximum principle for optimal control of SPDEs. Comptes Rendus. Mathématique, 2012, 350 (13-14), pp.683-688. ⟨10.1016/j.crma.2012.07.009⟩. ⟨hal-00706554⟩