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). © 2012 Académie des sciences.
Stochastic maximum principle for optimal control of SPDEs / M. Fuhrman, Y. Hu, G. Tessitore. - In: COMPTES RENDUS MATHÉMATIQUE. - ISSN 1631-073X. - 350:13-14(2012), pp. 683-688.
Stochastic maximum principle for optimal control of SPDEs
M. Fuhrman
;
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). © 2012 Académie des sciences.
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