Stochastic maximum principle for optimal control of SPDEs driven by white noise

Marco Fuhrman (1) , Ying Hu (2) , Gianmario Tessitore (3)

1 Dipartimento di Matematica "F. Brioschi"
2 IRMAR - Institut de Recherche Mathématique de Rennes
3 Dipartimento di Matematica e Applicazioni [Milano]

We prove the maximum principle of Pontryagin's type for the optimal control of a stochastic partial differential equation driven by a white noise under the hypothesis that the control domain is convex.

Domains: Probability [math.PR]; Optimization and Control [math.OC]

Marco Fuhrman, Ying Hu, Gianmario Tessitore. Stochastic maximum principle for optimal control of SPDEs driven by white noise. 2014. ⟨hal-01064475v1⟩