ENGLISH

General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions

By Qi Lü , Xu Zhang (auth.)

Book information

Publisher
Springer International Publishing
Year
2014
ISBN
978-3-319-06631-8, 978-3-319-06632-5
DOI
10.1007/978-3-319-06632-5
Language
english
Format
PDF
Filesize
2 MB (1772915 bytes)
Series
SpringerBriefs in Mathematics
Edition
1
Pages
146\148
Time added
2014-06-12 06:00:00
Control; Calculus of Variations and Optimal ControgeneralSystems Theory

Description

The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The corresponding theory is by now well-developed in the deterministic infinite dimensional setting and for the stochastic differential equations. However, very little is known about the same problem but for controlled stochastic (infinite dimensional) evolution equations when the diffusion term contains the control variables and the control domains are allowed to be non-convex. Indeed, it is one of the longstanding unsolved problems in stochastic control theory to establish the Pontryagin type maximum principle for this kind of general control systems: this book aims to give a solution to this problem. This book will be useful for both beginners and experts who are interested in optimal control theory for stochastic evolution equations.

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