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Necessary Conditions for Optimality for Stochastic Evolution Equations

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  • AbdulRahman Al-Hussein

Abstract

This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach.

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  • AbdulRahman Al-Hussein, 2013. "Necessary Conditions for Optimality for Stochastic Evolution Equations," Abstract and Applied Analysis, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:469390
    DOI: 10.1155/2013/469390
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    1. Al-Hussein, AbdulRahman, 2013. "Sufficient conditions for optimality for stochastic evolution equations," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2103-2107.
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