A Maximum Principle for Optimal Control of Stochastic Evolution Equations

math.OC

/ Authors

/ Abstract

A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.

A Maximum Principle for Optimal Control of Stochastic Evolution Equations

math.OC

/ Authors

Kai Du, Qingxin Meng

/ Abstract

A general stochastic maximum principle is proved for optimal controls of semilinear stochastic evolution equations. Stochastic evolution operators, and the control with values in a general set enter into both drift and diffusion terms.