On the Optimal Control Problem of Stochastic Semilinear Partial Differential Equations with Non-Globally Lipschitz Coefficients

Abstract

In this paper, we study optimal control problems for stochastic semilinear partial differential equations, which lack the maximum principle, and whose coefficients do not have bounded Frechet derivatives. We propose an approximation scheme for the corresponding optimization problem, and prove convergence of the approximating solutions on both finite and infinite time intervals.