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math.PR2015
Necessary stochastic maximum principle for dissipative systems on infinite time horizon
Carlo Orrieri, Petr Veverka
We develop a necessary stochastic maximum principle for a finite-dimensional stochastic control problem in infinite horizon under a polynomial growth and joint monotonicity assumpt…
math.PR2015
Stochastic maximum principle for optimal control of a class of nonlinear SPDEs with dissipative drift
Marco Fuhrman, Carlo Orrieri
We prove a version of the stochastic maximum principle, in the sense of Pontryagin, for the finite horizon optimal control of a stochastic partial differential equation driven by a…