Sufficient conditions for optimality for stochastic evolution equations
AbdulRahman Al-Hussein
TL;DR
This paper establishes sufficient conditions for optimality in controlled stochastic evolution systems on Hilbert spaces, utilizing adjoint backward stochastic evolution equations to derive these conditions.
Contribution
It introduces new sufficient conditions for optimality in stochastic evolution equations using adjoint backward equations.
Findings
Derived explicit sufficient optimality conditions.
Applied backward stochastic evolution equations for analysis.
Enhanced understanding of control in infinite-dimensional stochastic systems.
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.
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Taxonomy
TopicsStochastic processes and financial applications · Advanced Mathematical Modeling in Engineering · Stability and Controllability of Differential Equations