The quadratic control for linear discrete-time systems with independent random perturbations in Hilbert spaces connected with uniform observability.
Ungureanu, V.M. (2005)
Acta Mathematica Universitatis Comenianae. New Series
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Displaying similar documents to “Optimal control of linear stochastic evolution equations in Hilbert spaces and uniform observability”
The quadratic control for linear discrete-time systems with independent random perturbations in Hilbert spaces connected with uniform observability.
Maximum principle for optimal control of fully coupled forward-backward stochastic differential delayed equations
Jianhui Huang, Jingtao Shi (2012)
ESAIM: Control, Optimisation and Calculus of Variations
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This paper deals with the optimal control problem in which the controlled system is described by a fully coupled anticipated forward-backward stochastic differential delayed equation. The maximum principle for this problem is obtained under the assumption that the diffusion coefficient does not contain the control variables and the control domain is not necessarily convex. Both the necessary and sufficient conditions of optimality are proved. As illustrating examples, two kinds of linear...
On some recent aspects of stochastic control and their applications.
Pham, Huyên (2005)
Probability Surveys [electronic only]
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Maximum principle for forward-backward doubly stochastic control systems and applications
Liangquan Zhang, Yufeng Shi (2011)
ESAIM: Control, Optimisation and Calculus of Variations
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The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not contain the control variable, but the control domain need not to be convex. We apply our stochastic maximum principle (SMP in short) to investigate the optimal control problems of a class of stochastic partial differential equations (SPDEs in short)....
Optimal control of a stochastic heat equation with boundary-noise and boundary-control
Arnaud Debussche, Marco Fuhrman, Gianmario Tessitore (2007)
ESAIM: Control, Optimisation and Calculus of Variations
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We are concerned with the optimal control of a nonlinear stochastic heat equation on a bounded real interval with Neumann boundary conditions. The specificity here is that both the control and the noise act on the boundary. We start by reformulating the state equation as an infinite dimensional stochastic evolution equation. The first main result of the paper is the proof of existence and uniqueness of a mild solution for the corresponding Hamilton-Jacobi-Bellman (HJB) equation. The...