Optimal Control of Stochastic Partial Differential Equations

We prove a sufficient maximum principle for the optimal control of systems described by a quasilinear stochastic heat equation. The result is applied to solve a problem of optimal harvesting from a system described by a stochastic reaction-diffusion equation.

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Bibliographic Details
Published in:Stochastic analysis and applications 2005-01, Vol.23 (1), p.165-179
Main Author: Øksendal, Bernt
Format: Article
Language:English
Subjects:
Calculus of variations and optimal control
Exact sciences and technology
Mathematical analysis
Mathematics
Optimal control
Partial differential equations
Primary 93E20
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Secondary 60H15
Stochastic analysis
Stochastic forward and backward partial differential equations
Stochastic maximum principle
Stochastic processes
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Description
Summary:We prove a sufficient maximum principle for the optimal control of systems described by a quasilinear stochastic heat equation. The result is applied to solve a problem of optimal harvesting from a system described by a stochastic reaction-diffusion equation.
ISSN:0736-2994
1532-9356
DOI:10.1081/SAP-200044467