Optimal control of a class of semi‐linear stochastic evolution equations with applications. Issue 4 (5th February 2019)

• Record Type: Journal Article
• Authors: Li, Zhipeng; Cai, Qianqian; Ren, Zhigang; Zhang, Huanshui; Fu, Minyue; Wu, Zongze
• Is Part Of: IET control theory & applications. Volume 13:Issue 4(2019)
• Page Start: 602
• Page End: 608
• Publication Date: 2019-02-05
• Subjects: optimal control -- stochastic systems -- maximum principle -- partial differential equations -- stochastic processes; optimal control -- semilinear stochastic evolution equations -- maximum principle -- parabolic type stochastic partial differential systems -- state variable -- control variables -- authors; Control theory -- Periodicals; Automatic control -- Periodicals; 629.8312
• DOI: 10.1049/iet-cta.2018.6171
• Languages: English
• ISSNs: 1751-8644

Abstract

Abstract : 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.