General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions
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1 Introduction.- 2 Preliminaries.- 3 Well-posedness of the vector-valued BSEEs.- 4 Well-posedness result for the operator-valued BSEEs with special data.- 5 Sequential Banach-Alaoglu-type theorems in the operator version.- 6 Well-posedness of the operator-valued BSEEs in the general case.- 7 Some properties of the relaxed transposition solutions to the operator-valued BSEEs.- 8 Necessary condition for optimal controls, the case of convex control domains.- 9 Necessary condition for optimal controls, the case of non-convex control domains.
Subfields: Control and Systems Engineering, Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/2d8df3a612f32224f2241836de18577fe1cf8d2d