Necessary conditions for stochastic optimal control problems in infinite dimensions
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DOI: 10.1016/j.spa.2019.11.010
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References listed on IDEAS
- Du, Kai & Zhang, Qi, 2013. "Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 123(5), pages 1616-1637.
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Cited by:
- Zhaoqiang Ge, 2022. "Linear Quadratic Optimal Control Problem for Linear Stochastic Generalized System in Hilbert Spaces," Mathematics, MDPI, vol. 10(17), pages 1-20, August.
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Keywords
Stochastic optimal control; First and second order necessary optimality conditions; Variational equation; Adjoint equation; Transposition solution; Maximum principle;All these keywords.
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