Necessary Conditions for Optimal Control of SPDE with locally monotone coefficients
arXiv:1910.04186
Abstract
The aim of this paper is to derive a maximum principle for a control problem governed by a stochastic partial differential equation (SPDE) with locally monotone coefficients. In particular, necessary conditions for optimality for this stochastic optimal control problem are obtained by using the adjoint backward stochastic partial differential equation (BSPDE).