Abstract
An optimal control problem for a controlled backward stochastic partial differential equation in the abstract evolution form with a Bolza type performance functional is considered. The control domain is not assumed to be convex, and all coefficients of the system are allowed to be random. A variational formula for the functional in a given control process direction is derived, by the Hamiltonian and associated adjoint system. As an application, a global stochastic maximum principle of Pontraygins type for the optimal controls is established.
Original language | English |
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Pages (from-to) | 295-306 |
Number of pages | 12 |
Journal | Applied Mathematics |
Volume | 29 |
Issue number | 3 |
DOIs | |
Publication status | Published - 1 Sept 2014 |
Externally published | Yes |
Keywords
- backward stochastic evolution equation
- spike variation
- stochastic evolution equation
- stochastic maximum principle
- Variational formula