A Maximum Principle for Optimal Control of Stochastic Evolution Equations

Abstract

A general maximum principle is proved for optimal controls of abstract semilinear stochastic evolution equations. The control variable, as well as linear unbounded operators, acts in both drift and diffusion terms, and the control set need not be convex.

20 pages

Cited by in corpus (2)

• Optimal distributed control of a stochastic Cahn-Hilliard equation
• Analysis and optimal velocity control of a stochastic convective Cahn-Hilliard equation