KMS Of Academy of mathematics and systems sciences, CAS
| OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES | |
| Barbu, Viorel1,2; Rockner, Michael3,4; Zhang, Deng5 | |
| 2020 | |
| Source Publication | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| ISSN | 0363-0129 |
| Volume | 58Issue:4Pages:2383-2410 |
| Abstract | 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. |
| Keyword | stochastic differential equations optimal control Kolmogorov operators |
| DOI | 10.1137/19M1307615 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | NSFC[11871337] ; DFG[CRC 1283] |
| WOS Research Area | Automation & Control Systems ; Mathematics |
| WOS Subject | Automation & Control Systems ; Mathematics, Applied |
| WOS ID | WOS:000564319700026 |
| Publisher | SIAM PUBLICATIONS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/52100 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Barbu, Viorel |
| Affiliation | 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 |
| Recommended Citation 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. |
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