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General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions (Paperback, 2014 ed.)
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General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions (Paperback, 2014 ed.)
Series: SpringerBriefs in Mathematics
Expected to ship within 10 - 15 working days
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The classical Pontryagin maximum principle (addressed to
deterministic finite dimensional control systems) is one of the
three milestones in modern control theory. The corresponding theory
is by now well-developed in the deterministic infinite dimensional
setting and for the stochastic differential equations. However,
very little is known about the same problem but for controlled
stochastic (infinite dimensional) evolution equations when the
diffusion term contains the control variables and the control
domains are allowed to be non-convex. Indeed, it is one of the
longstanding unsolved problems in stochastic control theory to
establish the Pontryagin type maximum principle for this kind of
general control systems: this book aims to give a solution to this
problem. This book will be useful for both beginners and experts
who are interested in optimal control theory for stochastic
evolution equations.
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