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https://hdl.handle.net/2440/78320
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Type: | Journal article |
Title: | Stochastic optimal control for backward stochastic partial differential systems |
Author: | Meng, Q. Shi, P. |
Citation: | Journal of Mathematical Analysis and Applications, 2013; 402(2):758-771 |
Publisher: | Academic Press Inc Elsevier Science |
Issue Date: | 2013 |
ISSN: | 0022-247X 1096-0813 |
Statement of Responsibility: | Qingxin Meng, Peng Shi |
Abstract: | This paper studies optimal controls for a class of backward stochastic partial differential systems in the abstract evolution form. Under the assumption of a convex control domain, necessary and sufficient conditions for an admissible control to be optimal are derived in the form of stochastic maximum principles by means of a convex variation method and a duality technique. As an application, the optimal control for a linear backward stochastic evolution equation (BSEE) with quadratic cost criteria (called BSEELQ problem) is discussed, and the corresponding optimal control is characterized via the stochastic Hamilton system which is a linear full-coupled forward-backward stochastic evolution equation (FBSEE) and consists of the state equation, the adjoint equation and the dual presentation of the optimal control. © 2013 Elsevier Ltd. |
Keywords: | Backward stochastic partial differential equation Stochastic maximum principle Stochastic evolution equation Backward stochastic evolution equation Verification theorem |
Rights: | Copyright © 2013 Elsevier Ltd. All rights reserved. |
DOI: | 10.1016/j.jmaa.2013.01.053 |
Published version: | http://dx.doi.org/10.1016/j.jmaa.2013.01.053 |
Appears in Collections: | Aurora harvest 4 Electrical and Electronic Engineering publications |
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