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math.PR2016
Ergodic maximum principle for stochastic systems
Carlo Orrieri, Gianmario Tessitore, Petr Veverka
We present a version of the stochastic maximum principle (SMP) for ergodic control problems. In particular we give necessary (and sufficient) conditions for optimality for controll…
math.PR2016
Stochastic maximum principle for SPDEs with delay
Giuseppina Guatteri, Federica Masiero, Carlo Orrieri
In this paper we develop necessary conditions for optimality, in the form of the Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional ev…