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https://hdl.handle.net/2440/113997
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DC Field | Value | Language |
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dc.contributor.author | Meng, Q. | - |
dc.contributor.author | Shen, Y. | - |
dc.contributor.author | Shi, P. | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Statistics and Probability Letters, 2018; 137:113-123 | - |
dc.identifier.issn | 0167-7152 | - |
dc.identifier.issn | 1879-2103 | - |
dc.identifier.uri | http://hdl.handle.net/2440/113997 | - |
dc.description | Available online 2 February 2018 | - |
dc.description.abstract | This paper is concerned with the existence of optimal controls for backward stochastic partial differential equations with random coefficients, in which the control systems are represented in an abstract evolution form, i.e. backward stochastic evolution equations. Under some growth and monotonicity conditions on the coefficients and suitable assumptions on the Hamiltonian, the existence of the optimal control boils down to proving the uniqueness and existence of a solution to the stochastic Hamiltonian system, i.e. a fully coupled forward–backward stochastic evolution equation. Using some a prior estimates, we prove the uniqueness and existence of the solution via the method of continuation. Two examples of linear–quadratic control are solved to demonstrate our results. | - |
dc.description.statementofresponsibility | Qingxin Meng, Yang Shen, Peng Shi | - |
dc.language.iso | en | - |
dc.publisher | Elsevier BV | - |
dc.rights | © 2018 Elsevier B.V. All rights reserved. | - |
dc.source.uri | http://dx.doi.org/10.1016/j.spl.2018.01.013 | - |
dc.subject | Backward stochastic partial differential equations; forward–backward stochastic evolution equations; infinite dimensions; uniqueness and existence; maximum principle | - |
dc.title | On the existence of optimal controls for backward stochastic partial differential equations | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1016/j.spl.2018.01.013 | - |
dc.relation.grant | http://purl.org/au-research/grants/arc/DP170102644 | - |
dc.relation.grant | B12018 | - |
dc.relation.grant | B17048 | - |
dc.relation.grant | B17017 | - |
dc.relation.grant | 11101140 | - |
dc.relation.grant | 11301177 | - |
dc.relation.grant | 61174058 | - |
dc.relation.grant | 60974052 | - |
dc.relation.grant | 61134001 | - |
dc.relation.grant | 61773131 | - |
dc.relation.grant | U1509217 | - |
dc.relation.grant | 2011M500721 | - |
dc.relation.grant | 2012T50391 | - |
pubs.publication-status | Published | - |
dc.identifier.orcid | Shi, P. [0000-0001-8218-586X] | - |
Appears in Collections: | Aurora harvest 8 Electrical and Electronic Engineering publications |
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