Marco Fuhrman, Ying Hu, Gianmario Tessitore
Abstract
Open-access reader
In this Note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
OpenAlex reports 30 citations for this work. Citation counts describe recorded attention and do not establish research quality.
A contribution statement is not available in the OpenAlex record.
Method details are not available in the OpenAlex metadata.
Findings are not separately available in the OpenAlex metadata.
Limitations are not available in the OpenAlex metadata.
Application details are not available in the OpenAlex metadata.
In this Note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
Key concepts: Maximum principle, Mathematics, Adjoint equation, Optimal control, Stochastic control, Stochastic differential equation, Stochastic partial differential equation, Pontryagin's minimum principle