Open AccessOptimal control of a class of semi‐linear stochastic evolution equations with applications
Author(s) -
Li Zhipeng,
Cai Qianqian,
Ren Zhigang,
Zhang Huanshui,
Fu Minyue,
Wu Zongze
Publication year - 2019
Publication title -
iet control theory and applications
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.059
H-Index - 108
eISSN - 1751-8652
pISSN - 1751-8644
DOI - 10.1049/iet-cta.2018.6171
Subject(s) - mathematics , class (philosophy) , state variable , control theory (sociology) , stochastic partial differential equation , connection (principal bundle) , state (computer science) , stochastic differential equation , hamiltonian system , hamiltonian (control theory) , type (biology) , stochastic control , partial differential equation , optimal control , mathematical optimization , control (management) , computer science , mathematical analysis , algorithm , physics , ecology , geometry , artificial intelligence , biology , thermodynamics
In this study, the authors derive a new type of maximum principle for both stochastic evolution and parabolic type stochastic partial differential systems. The systems only require the Hamiltonian functional to be concave in the state variable rather than in both state and control variables. They also show a connection between these two types of systems. Finally, examples are given to illustrate the authors' theoretical results.