Peng's Maximum Principle for Stochastic Partial Differential Equations
arXiv:2105.05194 · doi:10.1137/20M1368057
Abstract
We extend Peng's maximum principle for semilinear stochastic partial differential equations (SPDEs) in one space-dimension with non-convex control domains and control-dependent diffusion coefficients to the case of general cost functionals with Nemytskii-type coefficients. Our analysis is based on a new approach to the characterization of the second order adjoint state as the solution of a function-valued backward SPDE.
19 pages; accepted for publication in SIAM Journal on Control and Optimization