Necessary and sufficient conditions of optimal control for infinite dimensional SDEs

Details Necessary and sufficient conditions of optimal control for infinite dimensional SDEs Necessary and sufficient conditions of optimal control for infinite dimensional SDEs

2012-02-17

arxiv.org/abs/1202.4011v2

Mathematics

Probability

Scientific paper

A general maximum principle (necessary and sufficient conditions) for an optimal control problem governed by a stochastic differential equation driven by an infinite dimensional martingale is established. The solution of this equation takes its values in a separable Hilbert space and the control domain need not be convex. The result is obtained by using the adjoint backward stochastic differential equation.

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