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Optimal Control of Stochastic Partial Differential Equations
Author:
Bernt 
ksendal a
ksendal a
| Affiliation: | a Center of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, Bergen, Oslo, Norway |
DOI:
10.1081/SAP-200044467
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
23,
Issue
1
January
2005
, pages 165
- 179
Stochastic Analysis and Applications,
Volume
23,
Issue
1
January
2005
, pages 165
- 179
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(English)
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Abstract
We prove a sufficient maximum principle for the optimal control of systems described by a quasilinear stochastic heat equation. The result is applied to solve a problem of optimal harvesting from a system described by a stochastic reaction-diffusion equation.
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| Keywords: Optimal control; Stochastic forward and backward partial differential equations; Stochastic maximum principle |
| Mathematics Subject Classification: Primary 93E20; Secondary 60H15; 60G35; 93E11; 62M20 |
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