Necessary Conditions for Optimality for Stochastic Evolution Equations

Necessary Conditions for Optimality for Stochastic Evolution Equations

This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochast...

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Main Author: AbdulRahman Al-Hussein
Format: Article
Language:English
Published: Hindawi Limited 2013-01-01
Series:Abstract and Applied Analysis
Online Access:http://dx.doi.org/10.1155/2013/469390
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spelling doaj-4f30da7f8720471aa4f52c38baf3aceb2020-11-24T23:40:01ZengHindawi LimitedAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/469390469390Necessary Conditions for Optimality for Stochastic Evolution EquationsAbdulRahman Al-Hussein0Department of Mathematics, College of Science, Qassim University, P.O. Box 6644, Buraydah 51452, Saudi ArabiaThis paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach.http://dx.doi.org/10.1155/2013/469390
collection DOAJ
language English
format Article
sources DOAJ
author AbdulRahman Al-Hussein
spellingShingle AbdulRahman Al-Hussein
Necessary Conditions for Optimality for Stochastic Evolution Equations
Abstract and Applied Analysis
author_facet AbdulRahman Al-Hussein
author_sort AbdulRahman Al-Hussein
title Necessary Conditions for Optimality for Stochastic Evolution Equations
title_short Necessary Conditions for Optimality for Stochastic Evolution Equations
title_full Necessary Conditions for Optimality for Stochastic Evolution Equations
title_fullStr Necessary Conditions for Optimality for Stochastic Evolution Equations
title_full_unstemmed Necessary Conditions for Optimality for Stochastic Evolution Equations
title_sort necessary conditions for optimality for stochastic evolution equations
publisher Hindawi Limited
series Abstract and Applied Analysis
issn 1085-3375
1687-0409
publishDate 2013-01-01
description This paper is concerned with providing the maximum principle for a control problem governed by a stochastic evolution system on a separable Hilbert space. In particular, necessary conditions for optimality for this stochastic optimal control problem are derived by using the adjoint backward stochastic evolution equation. Moreover, all coefficients appearing in this system are allowed to depend on the control variable. We achieve our results through the semigroup approach.
url http://dx.doi.org/10.1155/2013/469390
work_keys_str_mv AT abdulrahmanalhussein necessaryconditionsforoptimalityforstochasticevolutionequations
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