Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130070 | Stochastic Processes and their Applications | 2017 | 32 Pages |
Abstract
In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional stochastic evolution equations with delay in the state. In the cost functional we allow the final cost to depend on the history of the state. To treat such kind of cost functionals we introduce a new form of anticipated backward stochastic differential equations which plays the role of dual equation associated to the control problem.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Giuseppina Guatteri, Federica Masiero, Carlo Orrieri,