Year: 2012
Type: preprint
Abstract: 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.
Source: arXiv (Cornell University)
Author: Al-Hussein, AbdulRahman
Institution: Qassim University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2950184618