Optimal control of a class of semi-linear stochastic evolution equations with applications

Title: Optimal control of a class of semi-linear stochastic evolution equations with applications
Creator: Li, Zhipeng; Cai, Qianqian; Ren, Zhigang; Zhang, Huanshui; Fu, Minyue; Wu, Zongze
Relation: IET Control Theory & Applications Vol. 13, Issue 4, p. 602-608
Publisher Link: http://dx.doi.org/10.1049/iet-cta.2018.6171
Publisher: Institution of Engineering and Technology
Resource Type: journal article
Date: 2019
Description: In this study, the authors derive a new type of maximum principle for both stochastic evolution and parabolic type stochastic partial differential systems. The systems only require the Hamiltonian functional to be concave in the state variable rather than in both state and control variables. They also show a connection between these two types of systems. Finally, examples are given to illustrate the authors' theoretical results.
Subject: optimal control; stochastic systems; maximum principle; partial differential equations; stochastic processes; semilinear stochastic evolution equations
Identifier: http://hdl.handle.net/1959.13/1467699
Identifier: uon:47884
Identifier: ISSN:1751-8644
Language: eng
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