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On the existence of optimal control for controlled stochastic partial differential equations
- Source :
- Nagoya Math. J. 115 (1989), 73-85
- Publication Year :
- 1989
- Publisher :
- Cambridge University Press (CUP), 1989.
-
Abstract
- In this paper we are concerned with stochastic control problems of the following kind. Let Y(t) be a d’-dimensional Brownian motion defined on a probability space (Ω, F, Ft, P) and u(t) an admissible control. We consider the Cauchy problem of stochastic partial differential equations (SPDE in short)where L(y, u) is the 2nd order elliptic differential operator and M(y) the 1st order differential operator.
- Subjects :
- Cauchy problem
Stochastic control
Discrete mathematics
010308 nuclear & particles physics
Differential equation
General Mathematics
010102 general mathematics
Mathematical analysis
93E20
Optimal control
01 natural sciences
Stochastic partial differential equation
0103 physical sciences
35R60
60H15
93C20
49J55
Minification
0101 mathematics
Brownian motion
Mathematics
Subjects
Details
- ISSN :
- 21526842 and 00277630
- Volume :
- 115
- Database :
- OpenAIRE
- Journal :
- Nagoya Mathematical Journal
- Accession number :
- edsair.doi.dedup.....26915455c921ea2d285c768de4600465