Necessary Conditions for Optimality for Stochastic Evolution Equations | Zendy

AbdulRahman Al-Hussein | Zendy

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Necessary Conditions for Optimality for Stochastic Evolution Equations

Author(s) -

AbdulRahman Al-Hussein

Publication year - 2013

Publication title -

abstract and applied analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.228

H-Index - 56

eISSN - 1687-0409

pISSN - 1085-3375

DOI - 10.1155/2013/469390

Subject(s) - mathematics , semigroup , hilbert space , separable space , stochastic control , optimal control , evolution equation , variable (mathematics) , control (management) , mathematical optimization , mathematical analysis , computer science , artificial intelligence

This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach

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