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On the existence of optimal control for controlled stochastic partial differential equations

Published online by Cambridge University Press:  22 January 2016

Noriaki Nagase
Noriaki Nagase*
Affiliation:
Department of Mathematics and System Fundamentals, Division of System Science, Kobe University, Rokko, Kobe, 657, Japan
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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.

Information

Type
Research Article
Information
Nagoya Mathematical Journal , Volume 115 , September 1989 , pp. 73 - 85
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1989

References

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