Abstract
A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable and linear unbounded operators act in both drift and diffusion terms, and the control set need not be convex.
| Original language | English |
|---|---|
| Pages (from-to) | 4343-4362 |
| Number of pages | 20 |
| Journal | SIAM Journal on Control and Optimization |
| Volume | 51 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2013 |
| Externally published | Yes |
Keywords
- Lp estimate
- Maximum principle
- Operator-valued stochastic process
- Stochastic bilinear functional
- Stochastic evolution equation