Marco Fuhrman, Ying Hu, Gianmario Tessitore
Abstract
We prove the maximum principle of Pontryagin's type for the optimal control of a stochastic partial differential equation driven by a white noise under the hypothesis that the control domain is convex.
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We prove the maximum principle of Pontryagin's type for the optimal control of a stochastic partial differential equation driven by a white noise under the hypothesis that the control domain is convex.
Key concepts: White noise, Maximum principle, Stochastic control, Pontryagin's minimum principle, Stochastic partial differential equation, Mathematics, Stochastic differential equation, Optimal control