OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES

doi:10.1137/19M1307615

CSpace

	OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES
	Barbu, Viorel 1,2; Rockner, Michael 3,4; Zhang, Deng 5
	2020
发表期刊	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN	0363-0129
卷号	58 期号:4 页码:2383-2410
摘要	We here consider optimal control problems governed by nonlinear stochastic equations on a Hilbert space H with nonconvex payoff, which is rewritten as a deterministic optimal control problem governed by a Kolmogorov equation in H. We prove the existence and first-order necessary condition of closed-loop optimal controls for the above control problem. The strategy is based on solving a deterministic bilinear optimal control problem for the corresponding Kolmogorov equation on the space L-2 (H, nu), where nu is the related infinitesimally invariant measure for the Kolmogorov operator.
关键词	stochastic differential equations optimal control Kolmogorov operators
DOI	10.1137/19M1307615
收录类别	SCI
语种	英语
资助项目	NSFC[11871337] ; DFG[CRC 1283]
WOS研究方向	Automation & Control Systems ; Mathematics
WOS类目	Automation & Control Systems ; Mathematics, Applied
WOS记录号	WOS:000564319700026
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/52100
专题	中国科学院数学与系统科学研究院
通讯作者	Barbu, Viorel
作者单位	1.Romanian Acad, Octav Mayer Inst Math, Iasi 700506, Romania 2.AlI Cuza Univ, Iasi 700506, Romania 3.Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 5.Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China
推荐引用方式 GB/T 7714	Barbu, Viorel,Rockner, Michael,Zhang, Deng. OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2020,58(4):2383-2410.
APA	Barbu, Viorel,Rockner, Michael,&Zhang, Deng.(2020).OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,58(4),2383-2410.
MLA	Barbu, Viorel,et al."OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58.4(2020):2383-2410.