MAXIMUM PRINCIPLE FOR OPTIMAL CONTROL OF INFINITE DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS

被引：0

作者：

Al-Hussein, Abdulrahman ^{[1
]}

机构：

[1] Qassim Univ, Coll Sci, Dept Math, Buraydah 51452, Saudi Arabia

来源：

DYNAMIC SYSTEMS AND APPLICATIONS | 2012年 / 21卷 / 2-3期

关键词：

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we provide necessary and sufficient conditions for optimality of a stochastic differential equation driven by an infinite dimensional martingale, and its solution takes its values in a separable Hilbert space. By using the adjoint equation, which is a backward stochastic differential equation, we derive the maximum principle in the sense of Pontryagin for this optimal control problem.

引用

页码：205 / 217

页数：13

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