Sufficient conditions for optimality for stochastic evolution equations

AbdulRahman Al-Hussein

Statistics & Probability Letters, 2013, vol. 83, issue 9, 2103-2107

Abstract: In this paper we derive for a controlled stochastic evolution system on a Hilbert space sufficient conditions for optimality. Our result is derived by using its so-called adjoint backward stochastic evolution equation.

Keywords: Stochastic evolution equation; Backward stochastic evolution equation; Optimal control; Sufficient conditions for optimality (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2013.05.026

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