On backward stochastic evolution equations in Hilbert spaces and optimal control

Mahmudov N., McKibben M.

Nonlinear Analysis, Theory, Methods and Applications, vol.67, no.4, pp.1260-1274, 2007 (SCI-Expanded) identifier

  • Nəşrin Növü: Article / Article
  • Cild: 67 Say: 4
  • Nəşr tarixi: 2007
  • Doi nömrəsi: 10.1016/j.na.2006.07.013
  • jurnalın adı: Nonlinear Analysis, Theory, Methods and Applications
  • Jurnalın baxıldığı indekslər: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Səhifə sayı: pp.1260-1274
  • Açar sözlər: Maximum principle, Semilinear systems, Stochastic evolution systems
  • Açıq Arxiv Kolleksiyası: Məqalə
  • Adres: Yox

Qısa məlumat

In this paper a new result on the existence and uniqueness of the adapted solution to a backward stochastic evolution equation in Hilbert spaces under a non-Lipschitz condition is established. The applicability of this result is then illustrated in a discussion of a concrete backward stochastic partial differential equation. Furthermore, a stochastic maximum principle for optimal control problems of stochastic systems governed by backward stochastic evolution equations in Hilbert spaces is obtained. © 2006 Elsevier Ltd. All rights reserved.