Please use this identifier to cite or link to this item: 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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