Title :
Maximum principle for optimal controls of stochastic partial differential equations
Author_Institution :
Fac. of Manage., Toronto Univ., Ont., Canada
Abstract :
Necessary conditions are derived for optimal controls of stochastic partial differential equations for both nondegenerate and degenerate cases. All the coefficients of the equations considered are allowed to depend on the control variables. The results can be applied to partially observed diffusions with correlation between signals and observation noises
Keywords :
State estimation; diffusion; maximum principle; partial differential equations; state estimation; stochastic systems; degenerate; necessary conditions; nondegenerate; observation noises; optimal controls; partially observed diffusions; stochastic partial differential equations; Control systems; Cost function; Differential equations; IEEE news; Mathematics; Motion control; Optimal control; Partial differential equations; Stochastic processes; Stochastic resonance;
Conference_Titel :
Decision and Control, 1992., Proceedings of the 31st IEEE Conference on
Conference_Location :
Tucson, AZ
Print_ISBN :
0-7803-0872-7
DOI :
10.1109/CDC.1992.371414
