Maximum principle for optimal control of stochastic evolution equations with recursive utilities
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2021
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| _version_ | 1866909091478110208 |
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| author | Liu, Guomin Tang, Shanjian |
| author_facet | Liu, Guomin Tang, Shanjian |
| contents | We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum principle is given for the optimal control, allowing the control domain not to be convex and the generator of the BSDE to vary with the second unknown variable $z$. The associated second-order adjoint process is characterized as a unique solution of a conditionally expected operator-valued backward stochastic integral equation. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2112_03165 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Maximum principle for optimal control of stochastic evolution equations with recursive utilities Liu, Guomin Tang, Shanjian Optimization and Control Probability We consider the optimal control problem of stochastic evolution equations in a Hilbert space under a recursive utility, which is described as the solution of a backward stochastic differential equation (BSDE). A very general maximum principle is given for the optimal control, allowing the control domain not to be convex and the generator of the BSDE to vary with the second unknown variable $z$. The associated second-order adjoint process is characterized as a unique solution of a conditionally expected operator-valued backward stochastic integral equation. |
| title | Maximum principle for optimal control of stochastic evolution equations with recursive utilities |
| topic | Optimization and Control Probability |
| url | https://arxiv.org/abs/2112.03165 |