5,678 research outputs found
A Maximum Principle for Optimal Control of Stochastic Evolution Equations
A general maximum principle is proved for optimal controls of abstract
semilinear stochastic evolution equations. The control variable, as well as
linear unbounded operators, acts in both drift and diffusion terms, and the
control set need not be convex.Comment: 20 page
Notes on the Cauchy Problem for Backward Stochastic Partial Differential Equations
Backward stochastic partial differential equations of parabolic type with
variable coefficients are considered in the whole Euclidean space. Improved
existence and uniqueness results are given in the Sobolev space
() under weaker assumptions than those used by X. Zhou [Journal of
Functional Analysis 103, 275--293 (1992)]. As an application, a comparison
theorem is obtained.Comment: 20 page
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