Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
750346 | Systems & Control Letters | 2011 | 7 Pages |
Abstract
In this paper we prove necessary conditions for optimality of a stochastic control problem for a class of stochastic partial differential equations that is controlled through the boundary. This kind of problem can be interpreted as a stochastic control problem for an evolution system in a Hilbert space. The regularity of the solution of the adjoint equation, that is a backward stochastic equation in infinite dimension, plays a crucial role in the formulation of the maximum principle.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Giuseppina Guatteri,