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math.PR2014
Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise
Marco Fuhrman, Ying Hu, Gianmario Tessitore
We prove a stochastic maximum principle ofPontryagin's type for the optimal control of a stochastic partial differential equationdriven by white noise in the case when the set of c…
math.OC2014
Well Posedness of Operator Valued Backward Stochastic Riccati Equations in Infinite Dimensional Spaces
Giuseppina Guatteri, Gianmario Tessitore
We prove existence and uniqueness of the mild solution of an infinite dimensional, operator valued, backward stochastic Riccati equation. We exploit the regularizing properties of…