Abstract
We consider a nonlinear stochastic optimal control problem associated with a stochastic evolution equation. This equation is driven by a continuous martingale in a separable Hilbert space and an unbounded time-dependent linear operator.
We derive a stochastic maximum principle for this optimal control problem. Our results are achieved by using the adjoint backward stochastic partial differential equation.
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Communicating Editor: Alain Bensoussan.
This work was supported by the Science College Research Center at Qassim University, project No. SR-D-010-092.
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Al-Hussein, A. Necessary Conditions for Optimal Control of Stochastic Evolution Equations in Hilbert Spaces. Appl Math Optim 63, 385–400 (2011). https://doi.org/10.1007/s00245-010-9125-6
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DOI: https://doi.org/10.1007/s00245-010-9125-6