[Sur le principe du maximum stochastique pour le contrôle optimal des EDP stochastiques]
Dans cette Note, nous présentons un principe du maximum stochastique pour le contrôle optimal des EDP stochastiques dans le cas général (quand le domaine du contrôle nʼest pas forcément convexe et que le coefficient de diffusion peut contenir la variable de contrôle).
In this Note, we give the stochastic maximum principle for optimal control of stochastic PDEs in the general case (when the control domain need not be convex and the diffusion coefficient can contain a control variable).
Accepté le :
Publié le :
Marco Fuhrman 1 ; Ying Hu 2 ; Gianmario Tessitore 3
@article{CRMATH_2012__350_13-14_683_0, author = {Marco Fuhrman and Ying Hu and Gianmario Tessitore}, title = {Stochastic maximum principle for optimal control of {SPDEs}}, journal = {Comptes Rendus. Math\'ematique}, pages = {683--688}, publisher = {Elsevier}, volume = {350}, number = {13-14}, year = {2012}, doi = {10.1016/j.crma.2012.07.009}, language = {en}, }
TY - JOUR AU - Marco Fuhrman AU - Ying Hu AU - Gianmario Tessitore TI - Stochastic maximum principle for optimal control of SPDEs JO - Comptes Rendus. Mathématique PY - 2012 SP - 683 EP - 688 VL - 350 IS - 13-14 PB - Elsevier DO - 10.1016/j.crma.2012.07.009 LA - en ID - CRMATH_2012__350_13-14_683_0 ER -
Marco Fuhrman; Ying Hu; Gianmario Tessitore. Stochastic maximum principle for optimal control of SPDEs. Comptes Rendus. Mathématique, Volume 350 (2012) no. 13-14, pp. 683-688. doi : 10.1016/j.crma.2012.07.009. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2012.07.009/
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Cité par 24 documents. Sources : Crossref, NASA ADS
☆ Supported by Marie Curie ITN Call: FP7-PEOPLE-2007-1-1-ITN, No. 213841-2: Deterministic and Stochastic Controlled Systems and Applications.
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