A variational formula for controlled backward stochastic partial differential equations and some application

Qing xin Meng*, Mao ning Tang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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 languageEnglish
Pages (from-to)295-306
Number of pages12
JournalApplied Mathematics
Volume29
Issue number3
DOIs
Publication statusPublished - 1 Sept 2014
Externally publishedYes

Keywords

  • backward stochastic evolution equation
  • spike variation
  • stochastic evolution equation
  • stochastic maximum principle
  • Variational formula

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