Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2017
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| _version_ | 1866909922913943552 |
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| author | Bonaccorsi, Stefano Zalinescu, Adrian |
| author_facet | Bonaccorsi, Stefano Zalinescu, Adrian |
| contents | We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary conditions that depend on the time derivative of the solution on the boundary. This work provides necessary and sufficient conditions of optimality in the form of a maximum principle. We also provide a result of existence for the optimal control in the case where the control acts linearly. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1703_07702 |
| institution | arXiv |
| publishDate | 2017 |
| record_format | arxiv |
| spellingShingle | Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions Bonaccorsi, Stefano Zalinescu, Adrian Probability 93E20, 60H15, 60H30 We study a control problem where the state equation is a nonlinear partial differential equation of the calculus of variation in a bounded domain, perturbed by noise. We allow the control to act on the boundary and set stochastic boundary conditions that depend on the time derivative of the solution on the boundary. This work provides necessary and sufficient conditions of optimality in the form of a maximum principle. We also provide a result of existence for the optimal control in the case where the control acts linearly. |
| title | Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions |
| topic | Probability 93E20, 60H15, 60H30 |
| url | https://arxiv.org/abs/1703.07702 |