Stochastic maximum principle for SPDEs with delay

Giuseppina Guatteri, Federica Masiero and Carlo Orrieri

Stochastic Processes and their Applications, 2017, vol. 127, issue 7, 2396-2427

Abstract: In this paper we develop necessary conditions for optimality, in the form of the stochastic Pontryagin maximum principle, for the optimal control problem of a class of infinite dimensional stochastic evolution equations with delay in the state. In the cost functional we allow the final cost to depend on the history of the state. To treat such kind of cost functionals we introduce a new form of anticipated backward stochastic differential equations which plays the role of dual equation associated to the control problem.

Keywords: Stochastic maximum principle; Stochastic delay differential equation; Anticipated backward stochastic differential equations; Infinite dimensions (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:7:p:2396-2427

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DOI: 10.1016/j.spa.2016.11.007

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