Optimal control of a class of semi-linear stochastic evolution equations with applications

Zhipeng Li; Qianqian Cai; Zhigang Ren; Huanshui Zhang; Minyue Fu; Zongze Wu

doi:10.1049/iet-cta.2018.6171

Optimal control of a class of semi-linear stochastic evolution equations with applications

Zhipeng Li
, Qianqian Cai
, Zhigang Ren
, Huanshui Zhang
, Minyue Fu
, Zongze Wu

Research output: Contribution to journal › Article › peer-review

6 Scopus citations

Abstract

In this study, the authors derive a new type of maximum principle for both stochastic evolution and parabolic type stochastic partial differential systems. The systems only require the Hamiltonian functional to be concave in the state variable rather than in both state and control variables. They also show a connection between these two types of systems. Finally, examples are given to illustrate the authors' theoretical results.

Original language	English
Pages (from-to)	602-608
Number of pages	7
Journal	IET Control Theory and Applications
Volume	13
Issue number	4
DOIs	https://doi.org/10.1049/iet-cta.2018.6171
State	Published - 5 Mar 2019
Externally published	Yes

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title = "Optimal control of a class of semi-linear stochastic evolution equations with applications",

abstract = "In this study, the authors derive a new type of maximum principle for both stochastic evolution and parabolic type stochastic partial differential systems. The systems only require the Hamiltonian functional to be concave in the state variable rather than in both state and control variables. They also show a connection between these two types of systems. Finally, examples are given to illustrate the authors' theoretical results.",

author = "Zhipeng Li and Qianqian Cai and Zhigang Ren and Huanshui Zhang and Minyue Fu and Zongze Wu",

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AU - Li, Zhipeng

AU - Cai, Qianqian

AU - Ren, Zhigang

AU - Zhang, Huanshui

AU - Fu, Minyue

AU - Wu, Zongze

PY - 2019/3/5

Y1 - 2019/3/5

N2 - In this study, the authors derive a new type of maximum principle for both stochastic evolution and parabolic type stochastic partial differential systems. The systems only require the Hamiltonian functional to be concave in the state variable rather than in both state and control variables. They also show a connection between these two types of systems. Finally, examples are given to illustrate the authors' theoretical results.

AB - In this study, the authors derive a new type of maximum principle for both stochastic evolution and parabolic type stochastic partial differential systems. The systems only require the Hamiltonian functional to be concave in the state variable rather than in both state and control variables. They also show a connection between these two types of systems. Finally, examples are given to illustrate the authors' theoretical results.

UR - https://www.scopus.com/pages/publications/85062664244

U2 - 10.1049/iet-cta.2018.6171

DO - 10.1049/iet-cta.2018.6171

M3 - 文章

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SP - 602

EP - 608

JO - IET Control Theory and Applications

JF - IET Control Theory and Applications

IS - 4

ER -

Optimal control of a class of semi-linear stochastic evolution equations with applications

Abstract

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