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- Publisher
- Springer Journals
- Copyright
- Copyright © 2011 by Springer Science+Business Media, LLC
- Subject
- Mathematics; Mathematical Methods in Physics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Numerical and Computational Physics; Theoretical, Mathematical and Computational Physics
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-010-9125-6
- Publisher site
- See Article on Publisher Site
Abstract
We consider a nonlinear stochastic optimal control problem associated with a stochastic evolution equation. This equation is driven by a continuous martingale in a separable Hilbert space and an unbounded time-dependent linear operator. We derive a stochastic maximum principle for this optimal control problem. Our results are achieved by using the adjoint backward stochastic partial differential equation.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Jun 1, 2011