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
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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.
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页码：205 / 217
页数：13
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