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General Pontryagin-type stochastic maximum principle and backward stochastic evolution equations in infinite dimensions
The classical Pontryagin maximum principle (addressed to deterministic finite dimensional control systems) is one of the three milestones in modern control theory. The corresponding theory is by now well-developed in the deterministic infinite dimensional setting and for the stochastic differential...
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| Lenguaje: | eng |
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Springer
2014
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-06632-5 http://cds.cern.ch/record/1742608 |