A variational formula for controlled backward stochastic partial differential equations and some application

(整期优先)网络出版时间:2014-03-13
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AnoptimalcontrolproblemforacontrolledbackwardstochasticpartialdifferentialequationintheabstractevolutionformwithaBolzatypeperformancefunctionalisconsidered.Thecontroldomainisnotassumedtobeconvex,andallcoefficientsofthesystemareallowedtoberandom.Avariationalformulaforthefunctionalinagivencontrolprocessdirectionisderived,bytheHamiltonianandassociatedadjointsystem.Asanapplication,aglobalstochasticmaximumprincipleofPontrayginstypefortheoptimalcontrolsisestablished.