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https://hdl.handle.net/2440/78320
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DC Field | Value | Language |
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dc.contributor.author | Meng, Q. | - |
dc.contributor.author | Shi, P. | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Journal of Mathematical Analysis and Applications, 2013; 402(2):758-771 | - |
dc.identifier.issn | 0022-247X | - |
dc.identifier.issn | 1096-0813 | - |
dc.identifier.uri | http://hdl.handle.net/2440/78320 | - |
dc.description.abstract | This paper studies optimal controls for a class of backward stochastic partial differential systems in the abstract evolution form. Under the assumption of a convex control domain, necessary and sufficient conditions for an admissible control to be optimal are derived in the form of stochastic maximum principles by means of a convex variation method and a duality technique. As an application, the optimal control for a linear backward stochastic evolution equation (BSEE) with quadratic cost criteria (called BSEELQ problem) is discussed, and the corresponding optimal control is characterized via the stochastic Hamilton system which is a linear full-coupled forward-backward stochastic evolution equation (FBSEE) and consists of the state equation, the adjoint equation and the dual presentation of the optimal control. © 2013 Elsevier Ltd. | - |
dc.description.statementofresponsibility | Qingxin Meng, Peng Shi | - |
dc.language.iso | en | - |
dc.publisher | Academic Press Inc Elsevier Science | - |
dc.rights | Copyright © 2013 Elsevier Ltd. All rights reserved. | - |
dc.source.uri | http://dx.doi.org/10.1016/j.jmaa.2013.01.053 | - |
dc.subject | Backward stochastic partial differential equation | - |
dc.subject | Stochastic maximum principle | - |
dc.subject | Stochastic evolution equation | - |
dc.subject | Backward stochastic evolution equation | - |
dc.subject | Verification theorem | - |
dc.title | Stochastic optimal control for backward stochastic partial differential systems | - |
dc.type | Journal article | - |
dc.identifier.doi | 10.1016/j.jmaa.2013.01.053 | - |
pubs.publication-status | Published | - |
dc.identifier.orcid | Shi, P. [0000-0001-8218-586X] | - |
Appears in Collections: | Aurora harvest 4 Electrical and Electronic Engineering publications |
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