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OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES

文献类型：期刊论文

作者Barbu, Viorel1,4; Rockner, Michael2,5; Zhang, Deng3
刊名SIAM JOURNAL ON CONTROL AND OPTIMIZATION
出版日期2020
卷号58期号:4页码:2383-2410
关键词stochastic differential equations optimal control Kolmogorov operators
ISSN号0363-0129
DOI10.1137/19M1307615
英文摘要We here consider optimal control problems governed by nonlinear stochastic equations on a Hilbert space H with nonconvex payoff, which is rewritten as a deterministic optimal control problem governed by a Kolmogorov equation in H. We prove the existence and first-order necessary condition of closed-loop optimal controls for the above control problem. The strategy is based on solving a deterministic bilinear optimal control problem for the corresponding Kolmogorov equation on the space L-2 (H, nu), where nu is the related infinitesimally invariant measure for the Kolmogorov operator.
资助项目NSFC[11871337] ; DFG[CRC 1283]
WOS研究方向Automation & Control Systems ; Mathematics
语种英语
WOS记录号WOS:000564319700026
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/52099]  
专题中国科学院数学与系统科学研究院
通讯作者Barbu, Viorel
作者单位1.AlI Cuza Univ, Iasi 700506, Romania
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
3.Shanghai Jiao Tong Univ, Dept Math, Shanghai 200240, Peoples R China
4.Romanian Acad, Octav Mayer Inst Math, Iasi 700506, Romania
5.Univ Bielefeld, Fak Math, D-33501 Bielefeld, Germany
推荐引用方式
GB/T 7714		 Barbu, Viorel,Rockner, Michael,Zhang, Deng. OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2020,58(4):2383-2410.
APA Barbu, Viorel,Rockner, Michael,&Zhang, Deng.(2020).OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,58(4),2383-2410.
MLA Barbu, Viorel,et al."OPTIMAL CONTROL OF NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS ON HILBERT SPACES".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 58.4(2020):2383-2410.

入库方式： OAI收割

来源：数学与系统科学研究院

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